I guess it's almost the same comparing the two. In online gambling, you are just not physically there. The possibilities of risk are less compared when you're in a casino. No people would be staring at you, but there are also instances of hacking when you've exposed yourself with your money. I would prefer online still.
The being "not physically there" and the actual being there is very different. In some point yes. they are the same (gambling) but the experience is way far different. It is far more exciting and fun to see real slots, roulette and other machine game in action. There is a very big difference between seeing and touching the real stuff.