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.
Yeah this is the problem for most gamblers they get too greedy also if they win and when they lose they try to recover the amount of money they'd lost. So they keep coming back even if nothing is left for them that's when it become an addiction.