There's more to football than the absolutism of winning and losing.
Football is about steady progress, setting yourself new targets all the time, staying positive and giving your very best and then seeing where it takes you.
Of course, everyone likes to win, and everyone would want that, but if losing was "the end of the world" like you say it is, then depression/quitting/throwing in the towel would be a huge part of the game - which it happens not to be.
You pick yourself up, you say to yourself that you've tried your best, and especially - if you've reached a final and lost - you say to yourself well done, we almost did it - and then you prepare for next season and have another go.
Take the CL - with all those great clubs..
If you reach a final in that competition you've done the club proud!