It hurts more when you feel like you have a legit shot of winning that series or that game outside of your fandom.
For instance, I wasn't bothered when the bears lost the super bowl to the Colts because we had wack ass rex Grossman as our starting qb and it was a long shot anyway. And although some bulls brehs believed the 2011 bulls could go all the way, I was screaming all that season we needed other ball handlers and even wanted to trade asik and the bobcat pick to get these other ball handlers, plus it was 1 rose vs a legit big 3 with the heat. So it didn't bother me much when they dropped that series. Hell going up 2-1 vs a injured cavs team and losing that series bothers me more honestly.