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. The problem is, why do I feel this way if I follow a strict responsible gambling practice?
I mean, I know that losses are part of the game, and I never spend more than I can afford, but I still can’t help feeling disappointed

I wonder if others feel the same way or if I’m overthinking it...
From what you're saying, I sense that you don't want to lose the money you're putting in to play. It's probably money you shouldn't lose, so it's best not to play because you need that money.
You should only play when you're willing to lose a certain amount of money. It doesn't matter how little it is. The important thing is that you feel the adrenaline and excitement, Now , if you lose, that's a normal part of casino gambling.