the merge was indeed gets anticipated by many of eth fans, even though the rumour was definitely gives more impact in value of eth, I think the reason eth is instead losing its value after the merge is that it's the same reasoning like when btc halving occuring, the rumour of halving could increase the value meanwhile right at the halving event the value is decreasing instead. the rumour is already making the merge seems normal added with the fact that after the merge nothing significant truly occurred.
i think thats not only the reason, we have psychological reason in finance market which is said buy the rumour and sell the fact. this is also happen recently to ethereum , alot ethereum community or investors interested with its merge. alot rumour that will happen after its done , so when they see the fact no matter that bad or good taking profits will do by them. speculation were done and its time to take profits.
People are anticipating that ETH would pump after the merge but they didn't expect this was going to happen since we are still in a bearish market. It may not be a problem if Ethereum isn't following the trend of Bitcoin but the fact that most altcoins are following Bitcoin as the trend they will eventually follow no matter what they are expecting it's either pump or dump but unfortunately during the merge it was in the bear market. That's why most of them sell their investment instead of holding we can't stop them it's their choice.