They dont know what to do. Being addicted and immensely victimized of the greediness, these people keep on playing with the intentions to get their money back. But as long as they are playing, they could never get their amount back as the house have planned everything already. They dont let you win more than few times so just forget this fact.
That intention is always the thing that ends up putting them in a huge problem eventually. They are busy chasing what they obviously would not be able to catch and that is really pathetic. A lot of people are just so greedy and it shows even in everyday life as they all just want to get rich quickly and since they already had that mindset about gambling, it is always very difficult for them to control those impulse to even know when to call it a stop.
I think a regular gambler will leave when he lose all his money, because we know that if he wins he will never stop but when he loses and has left nothing in his pocket then he will leave.
Regular gambler also is having lots of chances to get addicted hence probably only in the beginning days he may know and prefer to stop and not after he had faced some big and humiliating losses. Stopping will be too hard for all the gamblers regardless of how they are gambling.