Quitting a game is indeed very hard for most gamblers as they tried to aim for more winnings, and usually end up screwing all their bankroll. Hence, it is always best to stick to your budget and call it a day if you believe you are already on your limits.
Some gamblers no longer have a budget. At first, they will set up a budget, which they might try to keep, but the more the game is going and they are being carried away by the game, any time they burn their balance, they always make an exception to fund again with the mindset of winning back all they have lost (chasing their losses), which doesn't always end well for them.