If you are gambling in local casinos, the casinos operating are likely paying taxes, which means they are registered as a business and gambling is legal in your country.
Yes, the casinos may pay taxes because they're a type of business and each business has to pay taxes in order to work in a jurisdiction.
But, there could be some illegal casinos who may not pay taxes to a government directly but may pay commission to corrupt administrative officials.
The end user doesn't have to pay any taxes in that case because he's not a part of that business but someone who just utilizes it for his/her fun.
Definitely, and those casinos are getting money from us, not that they steal from us but the reality is most gamblers losses money so we are the source of income on that casinos. With that, it's a simple logic, when we are the source of income to them, that means we are spending money as our expenses, and no way these expenses are being taxed, unless the government wants to give us this burden that would result us to quit gambling. If that is their intention, then might as well ban gambling for good, so everyone will not benefit.