What makes a game cozy to you?

I really like this question, because it is not something I've previously given much thought to. Here is what I've come up with, in no particular order:

Dense atmosphere. There's a lot I could talk about here, but suffice it to say that the game needs to have ＴｈｅＶｉｂｅｓ.
High interactivity. I'm spending most of my time engaged with the game world, as opposed to transitional elements like menus, lobbies, or cutscenes.
Low friction. This doesn't necessarily mean no challenges, but I shouldn't have to feel challenged if I'm not up for it.
No pressure to advance. I can just dick around for hours at a time for any reason, without consequence.

My go to 'cozy game' is A Short Hike, and it meets each of the criteria you've set out. Good list!
- A Short Hike is A+ cosy for sure!

If I can leave it running without pausing and return 15 minutes later without any negative consequences.

What are some of your favourites when taking that into account?
Cozy games for me are like Stardew Valley/Harvest Moon, Sims and Cities Skyline, but you definitely have to pause them if your going away or you lose stuff and/or everyone panics.
- I began Stardew Valley recently and have had to take a good long break because the clock ticking away was stressing me out to get places before a shop closed or a festival ended - not to mention the new season pressure to get crops planted before fainting in day one lest you lose a harvest cycle.
  Definitely not the relaxing experience games like this intend.
- Something like Animal Crossing immediately comes to mind. I have never gotten into Stardew Valley but afaik nothing bad shouldn't immediately happen if you step away for a few minutes?
  For my favorites within the genre, let's say Unpacking.
  Side note, personally I don't find city builders like Skylines very cozy. There's usually too much stuff going on. Maybe if playing with infinite money turned on.

No fail state, or if there is a fail state that it is either not painful (low cost on death or the like) or is extremely quick back into a game (roguelikes/lites and starting a new game in seconds)

Probably also a softer style of art but it doesn't have to be.

No way to lose and chill gameplay loop.

I would argue that dark souls would fit this bill. There is no way to lose unless you give up, i.e. no game over screen. And as I've been playing it since forever, I find it pretty chill running through once or twice a year. Dunno if I'd actually call it "cozy" but it is my gaming comfort food.
- Dieing is losing.

Scenes of character I care about just chilling. OG Nier camp scenes and audible pleasure of eating stuff in Yakuza, each game having their personal little moments were my tiny special highlights of these games.

To me it was Anno 1602. Until too many pirates came 😂