I think this boils down to what you look for in a franchise.
Is winning the (real) point? Sure. Is it the be-all end-all of life as a sports fan? Not to me.
I follow my university's basketball squad. I know that their chances of winning in March are so minuscule that they might as well not even try. But I'm still a fan of the squad because the players are out there having fun, enjoying the camaraderie, and working hard. Fine for me.
Another example: the point of going to, say, a classical piano concert is to hear great piano playing, right? But what if the person you are watching isn't the best player in the world, and has no chance of becoming the best? Does that diminish their skills or your enjoyment of the music? Not in my book.
Music is not sports. Winning is a big part of sports. Otherwise why do you even root for a team? You WANT them to win right? Like Sean said, on paper we could remain Jazz fans even in this hypothetical scenario. But in the back of the mind there would be this constant reminder that this team is not going to win it all anytime and that will be gnawing away at your excitement or passion. Even as you root for your team that belief that they COULD win will be gone. Say the Jazz do reach the Finals in 2015. You would know before hand that they are going to lose the Finals, so it would kill all the excitement and make it pointless and almost hypocritical to hold up placards and posters for chewrring up the team. It will be like as if you are trying hard to delude yourself.