When you said you keep losing and turns out not fun at all then it means you've been gambling for too long and you're getting to the point of trying and trying 'til something happens, hoping for at least a rare event which is winning. I think there's already a wrong happening in that scenario that when you keep losing, you're continuously wasting money that's not allotted for a pure entertainment or just for fun. I mean, if you really control that scenario, gambling for fun, losing is fine, you already expected that allotted money will be gone since it's gambling. The satisfaction that all you need is the thrill of gambling, well maybe we differ on what's fun in gambling.
But the thrill comes from the potential to win a fairly large sum. Not from the fact that you can lose it. I think that every player, entering the game, innately understands in his brain that he can lose, but in his soul he hopes that he will win, and the thrill comes from the fact that he can win a small amount, and can win a very large one. And the higher the bet, the more he anticipates this win.