Estimating time-frequency domain masks for single-channel speech enhancement using deep learning methods has recently become a popular research field with promising results. In this paper, we propose a novel components loss (CL) for the training of neural networks for mask-based speech enhancement. During the training process, the proposed CL offers separate control over preservation of the speech component quality, suppression of the noise component, and preservation of a naturally sounding residual noise component. We illustrate the potential of the proposed CL by evaluating a standard convolutional neural network (CNN) for mask-based speech enhancement. The new CL is compared to several baseline losses, comprising the conventional mean squared error (MSE) loss w.r.t. speech spectral amplitudes or w.r.t. an ideal-ratio mask, auditory-related loss functions, such as the perceptual evaluation of speech quality (PESQ) loss and the perceptual weighting filter loss, and also the recently proposed SNR loss with two masks. Detailed analysis suggests that the proposed CL obtains a better or at least a more balanced performance across all employed instrumental quality metrics, including SNR improvement, speech component quality, enhanced total speech quality, and particularly also delivers a natural sounding residual noise component. For unseen noise types, we excel even perceptually motivated losses by an about 0.2 points higher PESQ score. The recently proposed so-called SNR loss with two masks not only requires a network with more parameters due to the two decoder heads, but also falls behind on PESQ and POLQA and particularly w.r.t. residual noise quality. Note that the proposed CL shows significantly more 1st ranks among the evaluation metrics than any other baseline. It is easy to implement, and code is provided at https://github.com/ifnspaml/Components-Loss.