Sure!
Axis and Allies. Get knocked out, the rest of the game continues without you.
Diablo hardcore. Die once, die forever.
The Binding of Isaac (or any of many other games). Yep.
...I could continue, but I trust you get the point. There are different types of games.
Heck, look at sports. You lose in the playoffs, and your team is dead (done). The other team advances, and you sit at home. Too bad, shouldn't have lost. You don't get to tell the story of winning, but maybe there's a good story about the season anyway. A good story sometimes ends.
Look, I understand your preference. It's cool! But not everyone shares it. As you state- other games have fewer consequences and let you create better, winning stories.
Play those.
Or, in the alternative, just houserule that you don't die. No worries there, either!
But my most memorable stories (since it is an emergent story that I didn't create, but was mediated by the interactions of other people and dice) involve my characters dying in awesome, tragic, or stupid circumstances. YMMV!