It's because of the big profit you get when you win. And when you lose you want to make that money back by betting more than the amount you lost to recover it. It's a vicious cycle unfortunately.
That's what we get when we are too greedy in gambling, if we cannot accept our loses most likely we can make a bad decision like chasing bets and when we do that, it gives us a big problem as we are already playing with rage and we cannot think clearly to carry our mission in gambling.