The official website for The Settlers of Catan

Question about Catan - Cities & Knights for PC/MAC I always lose. Are the computer opponents playing unfair?

Answer

We received some comments from players who perceived the computer opponents’ behavior in the game as unfair. Well, the computer opponents may play tough, but they never play unfair or against the rules. It was our goal to create a strong artificial intelligence that poses a challenge even after having played several games, which makes the situation a little more difficult for newcomers. This is why we subsequently added a Campaign for newcomers where the computer opponents play in a more “amiable” fashion.
Klaus Teuber also wrote a blog post on this topic.