ARGH!!!

If you use up all your ammo for ornagers or any other siege engine for knocking over walls, we all know said battle will end in a loss. Makes sense since you can't get inside anymore.
But just in case your very last boulder or bolt destroys the last piece of wall (and you get that little ingame movie), then you get a loss as well.

Apparently the game figures the loss from when the missile leaves the weapon and not when it lands.