Because most gamblers always have confidence that they will win the next game, but of course this is impossible to do.
If they lose money, they play again in order to recoup their losses. And many of them believe that they will win back money that they lost.
Yes addictive nature of gambling makes people to have their own reason and it is in no way uncommon as we are humans, after all.
It's one of the many human weaknesses. It is as natural as we get addicted to any other thing in life. The desire and chase after 'winning' specially money, appears to be the main cause.