A lot of gamblers experience that. You are not a legit gambler if you didn't experience the walk of shame. I saw a lot of people experience this and I don't want it to happen to me. What I am doing is to separate the money for daily needs and gambling. I will not gamble on the money that I needed, I will only use the money I can afford to lose. One of the gambling addict told me that and I practiced it ever since.
Mostly in casinos people walk in shame, though I experience this thing but I don't loss much. I think its normal for you to feel like this specially when you loss no matter what the amount is. Gambling is very risky, there's no easy way to earn it or if you earn at the end of the day you still lose it. Settings yourself on what to do can really help you, and prevent you from losing.
That's if you lost a lot but if you didn't, you should do the things that matters to you which is winning. If you have managed to do that then it's great. Having losses wouldn't mean the end of the world especially if you are aware of certain practices that makes you a better risk taker.