The reason I think losses are a bad stat for relievers is that they're often brought into tie games in the late innings. If they give up 1 run that could easily be a loss for them. Or if they get lucky, their team scores some runs and they get the win instead. There's a pile of luck involved.
Believe me, I'm not arguing that blown saves are a great stat either.
Now when the closer gets both a loss and a blown save, that's ugly.