Sex and sexual attraction are a primal thing, its coded into our genes. Throughout the centuries we have been trying to adhere all these social ideals like love, romance and chivalry to a force of nature and the wires get crossed. Then you end up with these anomalies like the "friend zone". Does it exist? Yes it does only as much as all the other ideals attached to sex do. Sex is a simple thing but a modernly defined relationship is an abomination of social rules, codes, laws, culture and the like. Society tells people what their relationship should be like and nature tells people who they are sexually attracted to and most of the time society and nature don't see eye to eye.
Guys who are mad about being friend zoned are actually mad about following societies playbook on scoring a relationship with a girl then nature foils the plan. Magazines, books, movies, advertizement and society promote all these things that are supposed to win the girl but in the end fail unless nature is on board. I can understand the frustration when a guy is attracted to a woman and rather than letting nature take its course and either be rejected or accepted, he is then thrown into societies machine and told what clothes and fragrances he needs to buy, how to have his hair, how to act, all the nice things to say and do to win her over, then after running societies gauntlet get slapped to the ground by nature, I can understand the frustration. You did all the things to make her like you, and she does, as a friend, because none of those things you did can change nature.
This is not the case every time though, there are still the macho frat types that believe that dinner and a movie is payment for sex. The difference is in weather the guy genuinely cares for the girl, in the cases where they do care lumping them into the frat guy crowd just adds insult to injury.