I’d say the worst are when…

• You outplayed your opponent, but still lost

• The opponent is toxic

• Your teammates are actively throwing

• You put a significant investment into the game

Of those, usually only the last is true of chess. I’d say most Esports titles are worse. Nothing is as bad as being locked in a game of CS or Dota for an hour with a griefer, while the game is clearly otherwise winnable, and the opponents spend the whole game gloating about how good they are.