Sometimes I play slot games, I set my budget and everything. My real intention is to play for fun, but after I lose my bankroll without a real win, I feel a little bit sad.
My real intention like you is to always have fun but still I want to win.
Societal and cultural programming has associated losing with pain and we run away from pain. However, we can't escape it despite having a different mindset for gambling.
If it is something that the OP continues to experience, take a pause. There is no other remedy for this than taking a pause and speaking with other gamblers on how they are able to deal with the sense of disappointment. Their stories can help you overcome the disappointment.