It's not that it's fun but it also has an emotional component. What many people like about gambling is the swing of emotions. If you've been losing and suddenly you win a jackpot, the excitement is even greater.
I always stand against the saying that a gambler only gambles for fun. I think this is never right because if the gambler was gambling for fun he would not bet money but would be doing something else...
I think some people should get out of this wrong thinking because gamblers never gamble for fun but gamble to make a profit.
I think what you fail to see is that precisely what makes it fun is that there is money at stake. Try playing roulette without real money and you'll see how boring it is.