It comes back to how deeply rooted American Exceptionalism is in the American psyche. There's this idea that you can always win, in fact you are supposed to win, so if you lose it's because you made a mistake. There's no such thing as a no-win scenario, and there's no such thing as doing everything you can but losing to an opponent who also knows what they're doing.

The easiest place to see this mentality is in American sports fans. The opinion "the other guys are professionals too and are sometimes just better" is always in the extreme minority. And people are more tribal and less rational about nationalism than sports fandom.