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...
That means you still have feelings, sadness because you experience losses as well as happiness because you win.
Gambling with the initial goal of having fun does not mean that you will be normal when you lose or not respond with happiness if you can win, whatever the initial goal, feelings of sadness and happiness will be experienced, what is different is not responding to the results excessively.
I think it is normal to feel sad and even still remember the experience, and I think that's what you mean, right?. I am sure, almost everyone has experienced the same thing as OP felt, including me. When that happened to me, then what I did was stop or take a break for a few days to calm my mind, and usually I look for other activities such as playing games on my cellphone or PC, and you can find other ways that you may have tried to entertain yourself, so as not to get lost in sadness when experiencing the loss.