What if the hero doesn't win?

I'm just an amateur writer. One thing that's strange to me is that there seem to be "rules" about writing. The story should consist of five parts, etc. To my untrained writing brain this seems to stifle creativity, and enforce a science-like structure in what I thought was an art.

I'm thinking of breaking one of the rules. At the end of my story, my hero just isn't strong enough to kill the villain. He gets away unscathed, but others are in peril due to his weakness.

Should I absolutely not do this? Must I adhere to the formula? What are the consequences, if I don't?

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