No, that's just something losers say.
My kingdom for a winner

I would not go as far as to say it is something that losers say. But I do believe it is a defense mechanism of some type to help soften losing.
I think losing at chess is much different than losing at physical sports like tennis for football. If you lose at these games, you can say "Well, they were just stronger or faster". Both of which, most people can improve relatively easily. But at chess, you can only say "They won because they outsmarted me." And, really, who wants to say that?
Right now I have an Online Chess game going. I left a quick message telling my opponent I was tired and would not be making a move until the next day.
He said "I'll wait for you to move. I like playing chess, not winning the games.".
This morning it occurred to me I am always hearing chess players say something like this; that they play chess for the sport, not winning.
So I am wondering, does anyone play because they like to win? Or are chess players on some higher plane of consciousness where winning really is unimportant?
Personally, I like to play chess, but I like it much more when I'm winning.