Chess is a Zero-Sum Game
It's not just that every time you win it means your opponent loses. Consider that even the mighty Kasparov averaged only 53% wins over Karpov in their five world championship matches (draws excluded). No matter how strong a player you are, if you play people of a similar rating then (assuming your rating is accurate) you should expect to lose fully half the games (draws excluded). I find this hard to accept emotionally, as I have the feeling I should win more than I lose, yet there is no arguing with the maths.
Looked at positively, if you lose then you learn. If you win that's the fun of it. Looked at negatively, if you lose, there's no glory in losing, if you win, so what, you profited from the opponent's errors.
For some reason, losing is more painful than winning is pleasurable. Suppose you play two games against a much weaker opponent and get crushed in the first. Even if you win the second game easily, it will not wipe away the pain of losing. You will begin to doubt whether you deserve your rating. If you play two games against a much better player and manage to win the first, then you will be pleased and relieved to avoid a loss. If he wins the return game this will confirm your belief that you were lucky to win the first one.
Even if you could win every game you played, that would be boring. There would be little fun in knowing that the outcome is not in doubt.
Furthermore, the above remarks apply to any competitive activity.
Looked at philosophically, losing and winning are the same. Only the ego feels the difference. Once the game is over, the slate is clean again. Unless you are playing in a serious competition, neither victory nor defeat are of any consequence, except as a memory. What is nice is that after a painful loss one can immediately start afresh and make new blunders!