Because religion is largely made up nonsense fairytales that direct people how their rulers want them to act. Now I'm not saying there aren't some religions with legitimacy, and many do teach good/proper values and ethics, but many don't. In fact, many religions have been used as a form of control and destructions in past times, Christianity being one of those.
I find it ridiculous that religion would specify whether gambling is okay or not, so this is just my two.
I'm an atheist myself, and I agree. I'm against religions and what they have caused to humanity in the past and still continue to do (see extremists and terrorist attacks). You don't need religion to point out that one should have proper values and morals to not start killing each other.
Anyway, I'm not too familiar with all religions, but as other users already mentioned, Islam is the one that states it's against gambling. However, I'm guessing that a large number of religions mention greediness somewhere in their writings; at least Christianity does. Even though it doesn't necessarily refer to gambling, it's quite similar.