Sounds really silly, but: My team not winning the league last season. On the last match day. We just had to win one game. But we played 2:2. In the end, it was 71 points for both teams. But Bayern had the better goal difference (+54 vs. +39 for us).
That one stung for a few weeks. Not because Bayern won the league (we are used to that), but because of the way we didn't win. Would've been the first time for us to win the league since 2012.
There might but other things. But this was the first thing that came to my mind, because it was very recent.