Are you sure they don't need the money? They might need the money but they are not desperate for the money and they can live their lives well and happy without the money. Despite that, the winning from gambling taste differently and they will be super excited to hit the jackpot. Everyone love to be successful in whatever they do and that includes the rich gamblers. Therefore, they may not only be gambling for entertainment but to also win money because, like I said before, money from gambling might taste differently to them.
It might be wrong if I say this to every rich person, but most of them don't gamble for money, however, that doesn't mean they like losing because as you said, everyone likes winning in anything they do, so even if a person is gambling for fun and entertainment and don't care about getting money from it, they wouldn't want to keep losing all the time because that wouldn't be pleasing.
If I'm a gambler, and also rich, I might spend some money on gambling sometimes but I wouldn't want to lose, even if I'm so rich that I don't need to win a lot of money, I would still enjoy the game more if I'm winning, and such people mostly would play games which are multiplayer or competitive and not games such as slots etc.