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.