A tricky term. Most theorists agree that the concept of "story" is more specific than just an account of a series of events. Thus, RPG play may not create a "story" even though it recounts a series of fictional events. However, the qualities of a story are nebulous. It generally has a message -- so a story has a beginning and an ending which resolves a conflict into some sort of moral message.

Note that most people in the world are not theorists and certainly the dictionary definition of "story" includes that of an account of a series of events (and, perhaps tellingly, it includes that "story" can sometimes simply mean "a lie".)

References:

• Story and Narrative Paradigms in RPGs
• Narrativism: Story Now
• Oxford Compact Dictionary: 'story' definition(approve sites)