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...
How wouldn't that be normal? "For fun" doesn't mean constant fun. In any activity. If we "fail" or have bad luck, we don't feel as good as we do when we are winning or doing well.
Thing is that we have to deal with those emotions like adults. We need to let them flush over us and feel them. Not to dismiss them, because that's not healthy, but just feel. Just like we do with the positive feelings.
They are just feelings and they can't hurt you. They often amplify your fear, so in gambling they can even be beneficial, because they can help you to understand if you gamble with too big bets or if you are gambling too much. But they are just feelings. They aren't accurate. They are evolved traits to keep us thriving.