I've never lost my entire bankroll, it's like breaking the unwritten rule of “Never bet more than you're willing to lose”.
I bought the games and even before I touch the card, I say to myself, “This money is dead and gone” or “This money is not mine, it's part of the prize pool.” as much as I can possibly be able to, and generally speaking, you won't be able to win everything, as some will take 2nd, 3rd, 4th places, etc.
So I'm playing as well as I can and if I'm making money I'm happy, I've tried my best. If I win I'm sure I'm thrilled, it's everyone's intention to be in 1st place, but don't knock yourself out if you only finish 2nd or 3rd, you've certainly doubled your buy-in so you're still in profit.
I've played tilt so many times in cash games that I can hardly count on them, but I never buy-in more than I can afford to lose, and if I lose everything I've bought, I go home, sleep on. That's what they say there's always another game. I've seen some people win a small fortune playing roulette and then losing it all in a poker game for money. Why? That doesn't make sense.
Similarly, when you go to the racecourse and lose a fortune on horseback, you always save enough money to get home by taxi!