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.
I still do not know where people are getting the idea that mostly in casinos; people always end up having a walk of shame. Well, unless you are scared you are going to end up gambling your car, then you should have at least considered going to the casino with the car. Oh! That reminds me, gambling your car, can still make you end up walking the walk of death and not just shame alone. Jokes apart though, anyone who finds themselves in this situation should really go back and think about where they are driving their life to, as that always ends up bad.