Three experiments explore how sport consumers respond to sponsor advertisements featuring a team that lost a pivotal game. Drawing from social identity and appraisal theories, the authors hypothesize and find that high identifiers experience stronger negative emotions but less identity threat than low identifiers following their favorite team’s loss. When an advertisement features the losing team, low identifiers show less favorable evaluations toward the brand, whereas high identifiers report more favorable assessments. The results demonstrate that the tendency to hide and escape from the source of threat (losing team) among low identifiers is evidenced in processing marketing communications, whereas high identifiers display more positive evaluations toward the brand when the advertisement acknowledged the loss. The study findings provide implications for sponsors to consider different messaging strategies depending on the level of team identification with the losing team.