...My real intention is to play for fun, but after I lose my bankroll without a real win, I feel a little bit sad. The problem is, why do I feel this way if I follow a strict responsible gambling practice?..
This may be due to the fact that you are playing for the sake of winning, and not for the sake of pleasure, as you want to convince yourself. If this were really the case, then you would have enjoyed the game anyway and probably would have received an additional bonus if you won.