It does. But if I were a big fan of one of the strongest teams of a certain league, I wish it would come far internationally as well. As far as possible. If it doesn't, nor one of its concurrents (not even one!), then I would have second thoughts. I know my favourite team would do well in the competition, but when I zoom out, and make the competition bigger, I wouldn't be able to erase these thoughts from the back of my head.
And that's why I think some fans of Premier League don't like to zoom out. Maybe it's something subconscious. Because even the level of entertainment and excitement could be affected, when realizing the broader picture. They tremendously enjoy winning the CL, but they (try to) suppress the significance of it when it does not happen.
edit:
Their intense love for the PL is so big (I believe it's more passionate than with most other competitions) that they don't want to hurt it. I believe it can be in the way a bit.