The Game is an example of an arbitrary, unfounded social experiment that people adhere to. Mentally, it is as simple as "thought A gives outcome B". Why should outcome B be losing? Who is enforcing that idea? What is losing? What does it mean?

The arbitrary nature and inconsequentiality of "losing the game" mean that by recognizing the meaninglessness of it, you can arbitrarily assign outcome B as "winning the game", and refuse the conformity of conferring the mental state of "losing" on yourself.

Congratulations, you just won the game.