I don't know if I'd define "gritty" based solely on the risk of loss/death. At least, not specifically to the PCs. I usually define gritty based on how dangerous the environment itself is to the PCs. If just basic background stuff is dangerous, then it's gritty. That stuff could be random encounters, animals wandering around threatening people, roving bands of <whatever>, etc.

Basically, if the same stuff that is a threat to, but not instantly/automatically fatal to, normal everyday people in the world is a threat to the PCs, then the game is "gritty". To me, it's about how much more capable the PCs are then just any random person in the area, if they were to pick up a weapon and fight (or even/especially in settings where there's some ever present threat and *everyone* has weapons and fights, or dies).

The Avengers? Doesn't matter that they can lose a fight, even a big one. That's never ever gritty. They are the heroes precisely because they are so much more powerful than the normal person walking down the street, that they are in an entire different level. Anything that's a threat to them at all, is something a "normal" person can't hope to manage via any means. That's heroic. Same deal with most D&D parties once they reach even 5th level or so. They are so much more powerful than a 1st level commoner, that the gap between what is a threat to one and a threat to the other is just too high to really run "gritty" well.

You *can*, but you basically have to constantly move up the level of threats to the PCs, and move them into constantly more challenging and dangerous environments to do it. And honestly, I also don't see "gritty" as including the PCs moving easily/constantly on to "new more challenging things". If your PCs travel back to where they started at 1st level, and the things that were threats then are no longer threats to them now? Not gritty. Now, if there is nowhere to go back too, or the whole world has gotten destroyed and/or more dangerous? You could pull that off (think days of future past type worlds). There are exceptions to every rule.