Oh yeah, I get that a lot. I don't feel like it's a problem though. I just try to get as much enjoyment as I can out of a game before it's over. I want to savour it and explore everything, instead of rushing through it all and missing stuff, and not letting the atmosphere sink in.
I guess I do have a problem with it though, in a sense. As I've gotten older I've found it harder to get sucked in to the atmosphere of a game. I'm far more aware of the fact that what I'm actually doing is interacting with a very deliberately designed computer program. Hyrule doesn't really exist, it's just a collection of polygons. Dungeons aren't really ancient ruins filled with booby-traps and indigenous creatures, they're incredibly contrived to create an enjoyable challenge. Everything I see and hear are just digital assets. It's all textures, shaders, audio files, pre-programmed A.I. patterns, etc., etc.
Because I'm aware of how a game is made and what makes a good game I find it really hard to lose myself in a game world. It can still happen, but it takes much longer now and plenty of games that could have done it when I was younger can't now because I can't ignore their flaws. Being knowledgeable of the medium can be a curse as well as a blessing sometimes. I wouldn't want to go back to being an easily impressed ignoramus though.