Answer
The statement makes sense.
Work Step by Step
My candidate received a majority of first-place votes and lost the election. The statement makes sense.
If the election uses the plurality method, then a candidate receiving a majority of first-place votes would win the election. However, there are other voting methods where it is quite possible for a candidate receiving a majority of first-place votes to lose the election.
For example, if the Borda count method is used, then a candidate receiving many second-place and third-place votes may have more total points than a candidate receiving a majority of first-place votes.