I agree, we do sometimes get into a particular mindset of being invincible because we manage to convince ourselves of that fact by manipulating ourselves emotionally. But that again only goes to show that no matter how faultless and amazing we human beings think ourselves to be, in the end, we are still quite fragile when it comes to matters of the mind.
So that being said, I think nobody who makes gambling losses should be too hard on themselves and they should remember that making such bad decisions is all a part of being human.
Next time they think about taking huge risks, they will remember what happened to them the last time, so in a way making such mistakes can be a good life lesson.
You should not blame yourself for the losses, and you should not be very sorry about them, it's just a game, and if it's not, then try to do everything to make it so. Don't think that this is a job that you should be trying to earn money from, then you won't have to try to stop it. We must try not to make hasty and thoughtless decisions, then there will be no reason for this.