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.
Talking about Christianity, it didn't only talk about greed of the love for money but it also condemned it in the bible when the gamblers were seen in the act of gambling and were chased away and that I think signifies those who desire to come close to God should avoid involving themselves in it. But these things don't work that way as more people in the Christendom find themselves gambling even publicly and this is because many feel they can make ends meet with gambling in this harsh economy.