I've looked up sit with in the dictionaries, but I couldn't find any definition that fits with the context.
Research, published in 2011 by Mike Morrison and Neal J. Roese, yielded similar findings. While people were just as likely to have regrets about action and inaction, regrets about inaction involved more elapsed time than regrets about action.
In other words, asking that guy on a date and getting laughed at might initially sting more than letting your chance to approach him pass by. But years later, when you're sitting in your rocking chair, you're more likely to regret letting him go and wondering "what if?" than if you'd asked him and been humiliated.
Of course, these findings don't imply that you should or shouldn't do something you're afraid of failing at — that's for you to decide. The takeaway here is that the frustration or embarrassment of trying and failing seems to fade faster than the pain of missing your chance.
Ultimately, it's about learning that you may have to sit with negative emotions either way.
As Robbins says about dealing with the looming prospect of failure, "I don't have to get rid of the fear. I just have to dance with it."