I think most of us have, at one time or another, finished a book or left a movie wishing that the story had ended just a little bit sooner. We felt for the characters in the work [from this point on I will be using the word ‘work’ interchangeably for movies, books and plays.] We understood their motivations. We wished for some of them to succeed and for others to fail. We rooted for changes to take place or we cheered those who were fighting to turn back the tides of time.
Then the work ends and we feel cheated, unhappy or let down.
There are many reasons for this feeling of disappointment to occur. The reader [again this is a generic term for readers, listeners and watchers] may have fundamentally misunderstood the work. They may have thought it was a comedy because they were unaware of the cues the author used to signal that it was a tragedy to hir audience. Or the author hirself may have been unaware of the way the audience would interpret the cues given. Misunderstanding of cues occurs, not uncommonly, when an author from outside a particular genre attempts to work within that genre. If the author is not conversant with genre expectations then they may not be aware that choices they have made as to cues or foreshadowing will at best fail and at worst confuse members of the audience.
I think, however, there is a sometimes a quite different reason for the reader’s feeling that there is something wrong with the ending of the work. Everything should have been wrapped up 10 minutes earlier or a there should have been a 10 minute coda. The author should have left off the last chapter or added an additional one. Our last look at that protagonist should have been different.
Before I go on I want to introduce into this discussion of reader dissatisfaction the concept of the just-world phenomenon [sometimes known as the just-world fallacy or the just-world hypothesis.] As Synder and Lopez remind us:
[t]heory and research support the idea that human beings are inclined to feel that suffering and punishment, like joys and rewards, should be deserved. . . .Belief in a just world can be maintained by ‘blaming the victim.’ . . .Because of the need to bring ‘ought’ and ‘reality’ into balance, the poor tend to be blamed for their poverty, and the person who is raped is blamed for the rape.”
Authors are frequently told that there are a limited number of ‘mythic story structures’ and a limited number of character archetypes. The names and the exact number of these vary from one theorist to another ranging over time and space from Aristotle to Tierno. There are a number of things that most of these theorists agreed on. That stories need beginnings, middles and ends; things must change over the course of the story; and that characters, in particular the protagonist, must themselves have arcs.
While one might argue as to how closely modern plays and books cleeve to those ‘rules’ it is difficult to argue that modern movies do not. Even movies that unfold through a series of flashbacks and/or flashforwards still have beginnings and ends. 
The reader who as been trained by movies and television to understand a story as having a clear beginning and a clear end and who further is trained to see a hero as someone who makes something happen and who sees the world through the understandings of the just world hypothesis will have extraordinary difficulties with dramas and stories that have what they percieve to be depressing endings. In modern stories heroes win. The empire crumbles. Skynet will not trigger a thermonuclear apocalypse. Oh, the hero hirself may not survive—but their cause will triumph. Yes, the evil may still linger in the dark corners of the universe but just as this incarnation was overthrown so will our descendents be able to crush it again when it attempts to return.
But how do we understand it if the protagonist does not triumph? How do we deal with a story that takes away from the protagonist even hir internal journey? In a just world those who do not triumph cannot have been the just. We feel uncomfortable that the author has made us inhabit the mind, not of the hero, but of the unworthy victim.
Looking back more than half a century after 1984 was published I realize that one of the most transgressive things that Orwell did was to make the reader who wants to side with the triumphant and feel that their side won realize that they, like Winston, must come to love Big Brother.
 Snyder, C. R., & Lopez, S. J. (2009). Oxford handbook of positive psychology. Oxford: Oxford University Press. Pg. 79.
 Aristotle, . (1998). Aristotle's poetics. New York: Hill and Wang.
 Tierno, M. (2002). Aristotle's poetics for screenwriters: Storytelling secrets from the greatest mind in Western civilization. New York: Hyperion.
 Although it is true that in the case of movies such as <i>Momento</i> there can be more than one way to order the scenes and thus what was from one point-of-view the beginning was, from another, the end.