As I said before, RPGs are not Table Top Strategy games, yes they can be played like them in the form of Dungeon Crawls and such, but there is a reason that we refer to one as an RPG or Campaign and the other as a Dungeon Crawl. Now, this is also just my own belief and your mileage may vary, but as I've said time and time again an RPG is about telling a story. It is a creative experience where 2-3+ people get together and tell a story in the form of a game. Now the interesting thing about this is that the focus on narrative frees you up for various things. Heroes in stories are supposed to win in the end, but not always throughout the story. Sometimes the situation is just flat out unwinnable.
Look at Star Wars, specifically Episode IV when they are escaping the Death Star. Can you imagine what would have happened in a Table Top session there with players who felt that they should be able to win every fight? They would have been slaughtered as endless numbers of Storm Troopers and eventually Darth Vader himself showed up to kill them. The fight was unwinnable, so they fled and the story continues.
Look at the Terminator movies, where every time the evil terminator shows up there is a fight, but in the end the good guys are running away. They know the fight is unwinnable, and so they flee until the very end when they can't flee anymore. Where sure, victory comes, but it comes because of a number of factors and usually at a great cost.
I can't tell you how many movies, books, comics, or other things I've seen where at some point of the story the hero is surrounded by more people than they can take on and they have to surrender, or they have to run away. These moments can happen in a Table Top as well too, and the results will be a good indication of how well you know your players, how well you can convey information, and what assumptions they have of the situation and the game.
Now, before I go further I need to make something clear. I am defining 'Win' here very narrowly. The winning of the fight, as in the defeating of all opponents. This is how most players define it too in my experience so I am using it. I am also speaking of unwinnable situations, not inescapable situations. If you put the player into a situation where the only thing they can do is die, you aren't being a good GM. In fact, any time you put the character into a situation where they can only do one thing you are being a bad GM in my opinion.
Keeping that in mind, remember to leave a door open for the players. Confronting them with overwhelming numbers is one thing, but if they don't know there is a way out they won't go for it. It short circuits their brain into thinking this is an obstacle that needs to be defeated, not necessarily overcome in some other way. So you need to make sure they know that fleeing is an option, or that there is some other way to deal with the problem that allows the story to continue. Maybe not in the "everything goes my way" way that they were hoping for at that moment, but it will at least continue.
Also, I am using combat as the example as it is the most common place that I have seen Players have the "I'm supposed to win this" mentality. Something about it being so mechanics heavy I think. That does not mean it does not also exist in other areas.
For an anecdotal example, in the most recent session of my Greymoore game I did this to one of the players. He had gone off alone into the city, despite knowing he was being hunted, and ran into his father. I'd clearly said to him that they were being herded, but he kept following along. The result was a dead father and him surrounded by 7 warriors who were all, individually, better than him. Not a fight he can win. The character however was torn on what to do, and ended up being critically wounded to the point of being unable to act before finally deciding to escape. The result was being captured, and the game taking a turn for a while as the other players then had to find out what had happened and rescue their friend before the bad guys won for real.
You can do it in your games as well. Just remember to point out that there is a way out aside from fighting to the end. The straight forward solution is not always right, and sometimes discretion is the better part of valor. Whatever PCs and tv shows want to say about it.
Have fun with it, and Happy gaming!