The simple answer is that favourites don't lose. They often win but when they do everybody (including the bookie) has predicted they will. That means the odds on them winning were probably very low and, therefore, the return on your investment will be small. Over time, you might back plenty of winners but your strategy would lose you money.

Imagine if you were a bookmaker and you thought a horse would win a race. Would you give your customers good odds? Of course not, that would be silly. After all, the bookie, like everybody else, including us, is in business to make money. 

Bookies always give the lowest odds on the favourite winning the race but most importantly, the odds they give are always lower in fact than the real odds of them winning and that means that, over time, the bookie will make a profit and you will make a loss.