Dwelling on losing final pair leads to disappointing exit (5)
I believe the answer is:
abode
'dwelling' is the definition.
('abode' can be a synonym of 'dwelling')
'losing final pair leads to disappointing exit' is the wordplay.
'losing final pair' becomes 'abo' (I can't explain this - if you can you should believe this answer much more).
'leads to' suggests taking the first letters.
The initial letters of 'disappointing exit' is 'de'.
'abo'+'de'='ABODE'
'on' is the link.
(Other definitions for abode that I've seen before include "Dwelling, residence" , "Home or domicile" , "Archaic dwelling place" , "Place of residence" , "Pad" .)