Here one of the players always wins. The question for a — say — 4 year old is why..
More interesting is when there is a logical reason for one player to always win. Take a variant of the game of Nim. With 3-4 year olds, start by giving 4 tokens to each of the 2 players. They play in turn (one after the other), putting 1 or 2 tokens down in the same line. The one who puts the 4th token wins.
Now, suppose an adult, you for example, plays with a child, and the adult starts the line. She can put 1 or 2 tokens. If she starts the line with 1 token, the child can add 1 or 2, thus making a line of 2 or 3. Obviously the child cannot win (if the adult starts with 1).
An interesting discussion can go on here. Does the child understand that you can always win? How does he know? He may recall all the possible strategies, or he may think you have a trick. In the latter case continue playing with him, giving him also the chance to start the game, until he understand that the one who starts always wins.
With older children, start with a longer line and a more complicated rule (like put 1 or 2 or 3 tokens).