The US women's soccer team loses games, even ones in major competition, all of the time. Yes, the US is the best team in the world, but they don't always win. In fact at the World Cup, the US has won only half of the 8 competitions, finishing 2nd once, and 3rd 3 times. In the 2016 Rio Olympics, the US Women finished 5th. There were 5 Olympics before Rio and the US did win 4 and finished with the silver in the other. They haven't even won all of the Gold Cup competitions finishing 3rd in 2010 (and no one else in North America is really all that good on the world stage). Even some of the other major competitions in the World, the US doesn't always win.
All that said, I expect them to win the Gold this year, as they are the best team (loss to Sweden and draw to Australia not withstanding).