Some of you will be familiar with the Khador player I helped a while back, but repeating the story probably won't hurt anyone. This guy was on a massive losing streak with his pButcher and pIrusk lists when I met him, and the ever helpful and well meaning friends were telling him to stick with his list and learn everything about it.
I could see his love for the game dying a little bit every time he lost, so I took one look at his list, suggested a screen unit, and he won the next five games in a row. Six months later he took fourth in the Danish Masters, just ahead of me actually, so maybe I should have kept my mouth shut. Losing promotes doubts in everyone, and doubts inhibit learning. This game is about finding your own path and style, and the fear of failure will prevent the experiments and growth a player needs to achieve his potential.
Always winning isn't much better though, since if a player wins a lot of games he's likely to conclude that his talents/strategy is flawless. Success is a good thing but too much of it can make us believe we don’t need to change anything, and then we stop asking the tough questions that would help us expand our knowledge or alter our assumptions about how the game works. This means that losing every once in a while is a good thing, but only if you work hard on taking the lessons to heart.
If you are...
Winning: If you always win you don't grow as a player, which is fine if you happen to always win against the best players in the world, in which case this probably isn't challenging enough and you should go play the Rybka chess engine instead. If you consistently win against everyone in your meta then it's time to let them grow and go play international tournaments instead.
Losing: If you always lose you will become the victim of doubts and fears that will stop your growth as a player, and when you keep losing games you will lose your interest in the game as well (unless you're a special kind of masochist). The occasional win will be labeled a fluke and you will learn very little from it, effectively locking you in a downward spiral. This is why many players suddenly find themselves invigorated and successful after switching factions, not because the new faction does anything substantially different from their old one, but because they've escaped the spiral and can start from scratch.
Mostly losing: If you win a couple of games here and there you will probably remain where you are, using what you know and the tactics that have worked for you so far, but never really growing. This is where a lot of players are at, and that's actually fine because most players enjoy the game when they know they can manage the occasional win. These guys are the players who will do well enough in casual games and fail miserably at tournaments where lists are tuned and high skilled players smell blood.
Mostly winning: This is the place to be. This is where you are confident in your ability to win a game against anyone, though obviously some players will be very hard or nearly impossible opponents. This is where you experiment and design your own lists concepts, and this is where losing will teach you valuable lessons and motivate you to do better.
I feel that "You learn more by losing" is a flawed statement, and even players I deeply respect repeat this ad infinitum. I understand that patting a losing player on the shoulder can be tempting but I think it makes the problem worse. If a player is losing and keeps losing you're basically telling him that he sucks, and then that he sucks even more because he should be learning to stop sucking.
A player caught in a downward spiral needs to know that there might just be one little thing wrong and, like the Khador player I talked about before, a single change in his list could allow him to start winning and growing as a player. It might not work, and he might just be hopeless, but "maybe you should try something new" is a lot better advice than "you learn more by losing".