F. Scott Fitzgerald had a tragic view of life. All of his novels leave the reader with a sense of failure, tragedy, and disillusionment. The Great Gatsby leaves the reader with a sense of disillusionment because that was the way Fitzgerald intended it. Gatsby is depicted as a romantic hero who does everything he possibly can to win back the love of Daisy and not only fails to win her but is shot to death in the splendid mansion which he built for the sole sake of attracting and impressing her.
Fitzgerald is remembered as the chronicler of the Jazz Age. In The Great Gatsby he is describing America's big party while the party was still going on. He must have seen the exaggerated hilarity inspired by bootleg liquor as something like youth itself, which is shortlived and foredoomed to expire. Fitzgerald's descriptions of Gatsby's parties, which are microcosms of the frenzy of the Prohibition Era, are reminiscent of Edgar Allan Poe's story "The Masque of the Red Death," in which the people have locked themselves inside a castle and are frantically trying to have fun while death is creeping up on them.
Fitzgerald expresses his essentially tragic view of life in a short story titled "Babylon Revisited." According to the Introduction to the story in the eNotes Study Guide:
The story of a recovering alcoholic's return to Paris after the start of the Depression and his attempt to win back custody of his daughter, "Babylon Revisited'' is a portrait of a man trying to get his life back in order after having made several bad mistakes in the years following his rise to riches during the heyday of the stock market in the 1920s.
"Babylon Revisited" was published in 1931, after America woke from its binge with a hangover. Fitzgerald himself was an alcoholic who was notorious for his wild and sometimes sadistic behavior while intoxicated. He died when he was still in his early forties. None of his books were in print. The public had lost interest in the escapades of the reckless, improvident people Fitzgerald had admired and had tried to emulate. Fitzgerald's meteoric rise and fall were set very appropriatedly against the backdrop of the boom years of the 1920s and the bust years of the 1930s. He became completely disillusioned with life by the time he was living in Hollywood and strugglinig to recover his lost genius with a novel titled The Last Tycoon, which he never finished.
The sense of disillusionment the reader feels upon finishing The Great Gatsby is the sense that admirers of F. Scott Fitzgerald feel about the author and all of his best works, including Tender is the Night and The Beautiful and Damned. In the character of Jay Gatsby, Fitzgerald was portraying himself, a well-meaning romantic with near-magical powers but predestined to failure.
The reader is left with a feeling of disillusionment because the novel explores the illusions that is the American Dream. If you were to take a look at Fitzgerald's short story Winter Dreams you can get a better sense of this illusion. Gatsby's desire for Daisy and his obsession with success is based on an illusion of success. The novel progresses in a dream-like state where for the most part, good things happen to the characters. However, things change very quickly and the reader is brought back to reality at an equally quick pace that leaves us even more disillusioned with the novel and its characters.