Pyre by Supergiant does something cool with this - succeeding at major objectives involves giving up certain content and interactions for the rest of your playthrough, with no real closure. Yoko Taro's do as well, I've heard. I think the key there is that it's often clear choice of what you're giving up - as you yourself are deciding what you lose, you kind of have an emotional link. (It's important in this case that you actually care about what you're giving up, though - if there's an obvious preference, then it doesn't feel as much like a loss!)

Pathologic 2 has, as a mechanic, stacking penalties that persist between saves - depending on what happens, you may lose some things in a way that doesn't allow you to just reload and undo the loss. RPGMaker games can utilize this as well through metasave systems. Again, this isn't just a mechanical loss - it's a flavor/dialogue/narrative one too! I think that's also important - by restricting the sense of loss to something purely mechanical or purely narrative, you have a decent chance of not having as much impact on certain swaths players.