Golf certainly is frustrating. That's quite deliberate, as it makes excelling very difficult and thus worthwhile. Think of it as like a Scottish martial art... taking years to become fairly proficient, and never being sure of reaching that elusive perfection.
But golf is also a spiritual discipline. It teaches you self-control, patience, and sportsmanship. Witness the far better behaviour of professional golfers, compared to soccer players and many other sportsmen.