No. I thought that was the case too, but I was wrong.
And technically, it's not illegal. Why should they give you something again because you lost yours? That's like buying a pet rock, accidentally deleting it, then saying, "I want a new one." Although that isn't a perfect analogy since you can't really run out of copies of a song.
I agree, though; it's stupid. It's linked to your account anyway. Only you can play it. And with "iTunes Plus" songs, which are DRM free, you can make unlimited copies anyway, so why not allow us to download unlimited copies?