From The TimeSplitters Wiki

Mission Failure is an event that occurs when you lose on a level.

Levels that it can happen on include Story mode, Challenge mode, and Arcade League. For it to happen, the player's character must either lose all of his/her health points, fall off a bottomless chasm, or possibly fail an objective.

When the screen is displayed, you are given the option to either restart the level (possibly from the nearest checkpoint) or exit the game. On the screen, you can sometimes view other menus such as the list of objectives that you completed and failed to complete, the number of points each character earned, or the briefing.

Soundtrack

When the Mission Failure screen appears, somewhat drastic music begins playing. The music continues to play for six minutes. After about two or three minutes, noises are made that resemble noises of some sort of monster. When furtherly analyzed, the noises are actually voices slowed down.

Sublimal Messages

Since the strange monster-like sounds are actually voices slowed down, it is implied that speeding the sound up would transform the noises to sound somewhat normal. Once done, the phrases "Stay right where you are" and "Good Lord!" have been claimed to be vaguely heard.

Some also hypothesize that playing the sound backwards would translate it into messages, also.

Mistakes

A mistake is heard at the end of the soundtrack when a woman (most likely from Free Radical) says "Is that too loud?"