Quite the contrary. You cant get the level of imersion a game achieves in any other medium. Its also not contrived by having to be squeezed in 2 hours and it allows interaction with said world, something that no other medium allows.
I would argue only TV shows compare because theres multiple episodes. In my opinion, movies are the worst medium to tell stories on, but its a quick and cheap way to spend your money in entertainment, while the remaining mediums require alot more commitment from the reader/viewer/player. Only one allows interaction though, and that one is no doubt the best one.