This expression is often used as a form of consolation, especially when trying to help someone deal with failure or disappointment. The idea is that you remind someone gently - or perhaps sarcastically, if you were part of the reason they lost - that sometimes you lose or things don't work out the way you had hoped. There has to be a winner, which means there always has to be losers. So, unless you're the sort person who never experiences defeat - personally or professionally - then you know how it feels to lose: "Sorry, pal, but you just can't win them all." Some people might shorten 'them' to say 'em', as in, "Sorry, but you can't win 'em all."