Because even if you lose you still find way to gamble after all. And when you win a little you totally happy and then you are inspired to do gambling again to try another luck on it.
Gambling has no difference on anything that is addictive, except for their effect.
So entertaining it in the first place is like giving it a chance to tie you to it. You have a point there that when we are "winning, we really feel happy". That's one reason, aside from that, there are other gambling addicts who are there not because they are enjoying it, but because they have no choice, and gambling is their bread and butter.