In truth, of course, you live in a larger world from which you momentarily enter or exit the world of Monopoly at will. But suppose you got stuck there and couldn't remember even that you had a real life. There is nothing in the game to remind you of it, no hints suggesting a world beyond. Every action in the game simply recycles you back into the game, like a dream from which you cannot awaken. It would be like becoming a part in a giant machine that just whirs on and on, following its inexorable rules.
Monopoly is a crude example.
The point is that every game defines a world, and every world is a product of some game. The limit of the game we are playing is the limit of the world we can perceive. Now, if the game or system is complex enough, there is a way out. The more complex the game or system, the more perfect and seamless the illusion of the game world. At the same time, the more complex the game or system, the more powerful it is in its own right.