There are different reasons:
entitlement: people that feel entitled have an inflated and pervasive sense of deservingness, self-importance, and exaggerated expectations to receive special goods and treatment with or without reciprocating. Entitlement as related to, but distinct from, specific grandiose (e.g., leadership, assertiveness, thrill-seeking) and vulnerable (e.g., contingent self-esteem) features of narcissism (Krizan, 2017). It has been said that entitlement is maladaptive because of the cognitive distortions it may fuel. People experiencing a sense of entitlement often do not have their wishes me which leads to distress and dissatisfaction, in turn reinforcing their desire to be special and raising expectations even more.
unrealistic expectations: expectations are a strong belief that something will happen. Our expectations determine our reality and impact those around us. In a self-fulfilling prophecy, people may rise or fall depending on their expectations and beliefs. Unmet expectations create depression, anxiety, feelings of inadequacy, impatience, and hopelessness. When people set their expectations too high, the possibility of disappointment is very high too. And disappointment as a form of sadness — a feeling of loss, an uncomfortable space, or a painful gap between expectations and reality.
pervasive dissatisfaction: the more we compare ourselves to others, the more dissatisfied we become, and we spend most of our lives comparing what we have and what with do with everyone else’s. Dissatisfaction could become chronic and can cause depression. Once dissatisfaction is a habit, everything would seem not enough and would cause sadness and feeling down.
There may be others but I think those 3 are very significant among the reasons we get sad when we don’t get what we want.