That's how LN works. A payment channel is really nothing more than a specific type of a BTC address: it's 'multisig' which means it needs more than 1 signature. And there is a contract stating how much in the channel is mine and how much is yours. Think of it as an escrow account that gets released after, say, 1 month, but in this 1 month both users can change the percentage in the escrow that belongs to me and how much belongs to you.

An example: Let's say we both open a payment channel and we both wire 1 BTC into it. That's 2 onchain transactions, 1 from me into the payment channel and one from you. Now the channel is open, we have 2 BTC in it and the relationship is 50/50. Now we do a bet for 0.25 BTC. You win the bet. So now 1.25 BTC in the payment channel money is yours and 0.75 is mine. We both sign that 'transaction', so we agree that that's the new status of our common money. We keep on betting and I lose time after time. Now 100% of the payment channel is yours. Now we close the payment channel and one ON CHAIN transaction takes place, where the 2 BTC from the payment channel is transfered to your BTC wallet. That's all there is to it.

So in this case there were 3 on chain transactions and we've betted several times, these were free each time. But in the end our bets did cost 3x miner fee.