I read an interesting article on this once in a psychology mag I subscribed to at the time. They talked about fandom being often formed when we are young and when our new experiences have a much stronger impression on our psychological and social development, and essentially the development of our sense of self, and in many people it becomes a part of their identity as a result. Which is one reason why fans get so, well, fanatic, and get an inordinate amount of joy from wins and why losses are soul-crushing, because it is manipulating our sense of self, which is at our core.
Anyway I probably paraphrased it all wrong, but that was the gist as I remember it. It is completely irrational.