It isn't a strange game. You pick one of 3 doors. The host then reveals the correct door and say you lost. Nobody would raise an eyebrow if that happened.
Lets take this scenario to show how changing would make you lose:
A conman runs a game where you pick one of 3 options and can win a prize. If you pick the correct option the conman will reveal one of the other and ask you if you want to switch. Switching then means you always lose. However if you pick the wrong one then he reveals the correct one and say you lost. So in this case following the rules of the original solutions means you are 100% likely to lose the game.
That people have such a hard time understanding this part of the problem is also due to not understanding statistics properly. If what I said above doesn't make sense to you then you don't understand the Monty Hall problem.