I don't understand how this has gotten so popular. I've always thought it was stupid, since I first heard about it in high school (Southern California, late '90s).
The only thing to do is say "I lost The Game." That's not a game. That's a call and response. It's not even an interesting one since the response is always the same.
I get that it's a shibboleth and you're supposed to feel cool by identifying yourself as a member of the in-crowd by pretending to be upset that you lost the game. I get that it's supposed to be edgy (in the "I'm so random" Invader Zim sense) and ironic (in the Alanis Morisette sense) because of the pointlessness and inability to do anything other than cause other people to lose. It's just... dumb. I've obviously underestimated how others feel about this, as evidenced by the fact that we're still discussing it thirty years later.
I think what I'm trying to say is that despite thinking I get it, I don't get it.