Gang Racers is made to be an exciting, skill-based arcade game. To achieve that we're trying to give your road shootouts some stakes, hence after losing one of them your progress may be reverted a few levels back.
This gives you an opportunity to practice and get better before attempting to attempt the level again.
If you'd rather try again instantly you can watch an ad to continue. You will also be rewarded with an additional armor to make your progress easier if you do that.
If you bought the no-ads package you can use the continue feature without watching an ad.