While there is no way to lose an RPG, since it has no inherent win conditions, it is possible to fail at your intended objective. And that's a good thing.
Failure teaches you things that you'd never learn by succeeding. How to pick yourself up, dust yourself off, and try again. How to look for alternate paths to success.
Video games can claim this benefit as well, but what makes an RPG unique is the lack of a reset switch. If you fail in a video game, your character generally dies (occasionally in a cool explosion) and the game resets to a point before you failed and lets you try again. So you try again from exactly the same initial condition.
One thing that amused me about the video game Grand Theft Auto: San Andreas was an early mission that took me a few tries to succeed at. Each time, I would get in the car with all my "homies" to do a driveby on a rival gang. Each time, they would fire back until my car and all my "peeps" exploded (though I was usually good enough to get out of the car before that point). Then I would go get the mission again and all those people who died in that car are miraculously alive as if nothing had happened. The exact same people.
But in an RPG, you have to deal with the consequences of your actions. If you fail to sneak past someone, they don't reset and let you try again. You have to find another way to accomplish your goal that doesn't involve sneaking.
Some Narrators may do something like this on accident. They'll tell you to make a roll but assume that you'll succeed. And the situation is set up in such a way that the only way to advance is with a successful skill roll. I've seen this called the "Mandatory Skill Roll Bug" though some of you might have your own name for it.
Video games also claim to support critical thinking. This is true, as player must figure out the solution to a problem in order to advance the plot of the game. Find the right weapon or find the right pattern to use in the boss battle. Find the key to access the new area. Which is good if there's only one solution to a given situation.
In an RPG, multiple solutions are possible, because your choices aren't limited by what a computer can anticipate, but by what a player and Narrator are willing to imagine. Instead of hunting all over the game world to find the one item that will accomplish a certain task, a player may decide to attempt the task with a similar item or look for a way to accomplish it without the item at all.
"The Jaded City of Oz", the sample adventure in the back of the Adventures in Oz: Fantasy Roleplaying Beyond the Yellow Brick Road, does this sort of thing very well. Each scene along the parade route does not have a preset solution that the players must stumble upon in order to advance the story. And since the parade goes on whether or not any of the scenes are fully resolved, players can even choose to avoid or ignore the encounters without "failing the mission" or cause the story to come to a crashing halt.