There are many images of heros and winners. Why not try to capture loss, losers, underdogs? This could be a football player with hanging shoulders after having lost a game, an investor having lost money and so on, even a car having lost a wheel could be appropriate (not when it's taken off on purpose for changing tires of course).
The theme is conceptual and therefore leaves a lot of room for everyone's creativity and ideas how to turn the theme into an image. There don't need to be people in the photo but the image should clearly transport the feeling of frustration and/or sadness that comes along with losing.