Being a gambler would be a shameful thing if you were in a place where gambling is illegal or not good and you share your gambler status to others and make people know that you're a gambler. And indeed it is normal that you be embarrassed if others knew you were a gambler places where gambling is illegal. Unless you're a person who has no shame, there would be no matter what happens.
It's not only about legality. Gambling is a legal thing where I live, but still it can be shameful if you gamble away the money your faminly needs to pay bills and to buy food and stuff. Also even if you don't spend a penny on gambling but play for free only, it can be shameful if you spend most of your free time on gambling. People around you need your attention so it's better to be with them than to gamble your time away behind the computer screen.