Challenge is a pretty integral part of most game experiences. Imagine if you couldn't die in Amnesia. Imagine if you had regenerating health in DayZ. Imagine if you didn't actually have to aim in shooters (actually, you can just play CoD on consoles if you want to see that in action).
The risk of failure is what forces you to try new things and extend beyond your comfort zone. It promotes planning and forethought. Basically, it's what makes gameplay meaningful.