I fall into this category. I fall into it so bad some times I force myself to finish games just to break the chain.
Notables on the list are Rainbow 6, Dishonored, Thief, several of the Command and conquers, Fallout 1 and 2, and Magicka. It isn't even a loss of interest most of the time... I am not sure what it is. Maybe it is that idea that once you beat it you don't have it to look forward to anymore?
Magicka is the only game that I have completed recently, and that's only because I was playing with some other people. I find that sandbox games in particular keep me from finishing. In Skyrim, what's the point of questing if I'm not gearing up to defeat Alduin. In Just Cause 2, why do I need to keep blowing crap up if I'm not trying to cause enough mayhem to unlock the next mission?
Actually, thinking on it some more, I have completed one sandbox game, and that was Saints Row 3. The open world isn't horribly exciting, so the missions are the best things going for it. I even decided to create a new character and replay the story, which I'm nearly done with again.