Finally, our battle has to confront what we experience as failure in prayer: discouragement during periods of dryness; sadness that, because we have "great possessions," we have not given all to the Lord; disappointment over not being heard according to our own will; wounded pride, stiffened by the indignity that is ours as sinners; our resistance to the idea that prayer is a free and unmerited gift; and so forth. The conclusion is always the same: what good does it do to pray? To overcome these obstacles, we must battle to gain humility, trust, and perseverance.
Source: Catechism of the Catholic Church (Vatican.va)