'Consequential losses' aren't covered by the EU legislation on passenger rights and carriers' liabilities in respect of them (across all forms of transport) are generally excluded under the terms of their contracts with their passengers (either explicit or implied).
For example, if a passenger is delayed on a train to an airport, resulting in him losing his entire holiday, the rail company is only required to refund him the price of his ticket. (Even that's only because the Government requires such a provision in order for the company to be given the franchise. The actual conditions of carriage only require the company to get the passenger from A to B, irrespective of how long it takes or the means used to do so. So getting the passenger to their destination a day late, after being made to use a succession of buses, still fulfils a rail company's contract).
It would be madness to allow passengers to pursue legal action against carriers for consequential losses as, say, a single flight delay which resulted in a businessman losing a major contract for his company could see an airline being pursued through the courts for many millions of pounds, forcing them into bankruptcy. So carriers either exclude responsibility for such losses explicitly in their terms of business or rely upon the courts to make sensible decisions and throw out any such claims.
So, if you want to ensure that you'll get your money back for any part of your holiday you might lose through flight delays (rather than just the flat-rate compensation which the EU regulations require airlines to provide), it's essential to find insurance cover that will pay out under such circumstances. You can't claim against the airline.