Is it worth playing a losing game??

OK people. Need some opinions here. If your in a game where unless your opponent makes the most serious of mistakes, do you go down fighting or opt for the quick death? I don't mean 1 move before a checkmate, I almost always give them that. But a player I have respect for told me not to play losing games. I'm an intermediate player at best(getting better thanks to you guys crushing me), I'd really love to know what you think.