Easy — fantasy is a genre and it has conventions that define it. Game of Thrones follows a different set of conventions altogether.
Let me start with an easy example from a different genre — romance. A romance story in the modern world consists of two people, typically of opposite genders, who are attracted to each other and who face a series of obstacles that get in the way of their romance reaching a successful conclusion. A romance that doesn’t conclude with an HEA (Happily Ever After) ending fails the fundamental test of what a genre romance requires. Romance may be an element in other genres (westerns, historical novels, fantasy), but in the romance genre itself, it must fulfill some or all of the genre conventions to be satisfying to its readers. (Omit the HEA and find out what your readers think of you…)
Or take westerns. Westerns require one or more people, typically men, often of ordinary background, who rise to heroic accomplishment in the face of great odds. They might or might not succeed in their task, but they show courage and acquire moral clarity in the process, if they didn’t have it in the first place. They are tested, and good usually triumphs over evil, even if the hero doesn’t live to see the result.
I was contemplating what bothers me about Game of Thrones the other day, and it came to me — this is not fantasy, in the genre sense. Yes, it is a well-written and absorbing fantastic history with fantasy elements, but I think that, at its base, genre fantasy has an assumption of morality play about it. Characters are presented with tasks or journeys to perform, and those with the right character are the heroes.
The realpolitik of the Game of Thrones characters is far from the morality play of conventional genre fantasy, of which Lord of the Rings is a primary exemplar. The elements of reality (arbitrary death and suffering, political power as the measure of success, no moral boundaries, etc.) may make it an interesting read, but I don’t think it is genre fantasy any more than something like A Handmaid’s Tale is genre science fiction.
While people in stories must behave enough like real people to be believable, that doesn’t mean there must be no heroes, no morals, no “right action”. The characters in fairy tales are “realistic” in a psychological sense, even if their actions and settings are fantastic. I think genre fantasy requires the depiction of right vs wrong, just as fairy tale does, and in that sense I don’t think Game of Thrones qualifies. This is why Lord of the Rings, which does, is such an enduring model.
Game of Thrones falls much more naturally into the genre of historical fiction, even if it is a fantasy history. It's all about “what happened”, not “what should have happened.”