As a gambler it's important to know how to control your emotions and discipline yourself, not just in the aspect of gambling but in every other area of life. Emotional instability caused by depression can lead to a whole lot of regretful actions. Gambling when you are having mixed emotions can cloud your judgment and also affect the decisions you make, at that point you wouldn't mind if you are losing and you can keep going till you have nothing left all under the excuse of chasing your losses. I have had some experiences where I decided to gamble when I was emotionally down and I regretted my actions. Some cases are actually a psychological issue where gamblers knowingly try to make themselves sad by ruining their financial life consciously, this is rare but it happens. Don't engage in gambling when you are depressed, if you are looking for a distraction try to do something productive instead.
Whether it is with gambling or any other things, don't do thing when you are at this state of being depressed. It will only result to trouble. Believe me, there's nothing good that will come out of it when you are out of your mind. So, it's much of a damage in gambling if someone is going to gamble at this state and likes to throw and burn money easily. Many cases are like that and many have foreseen how it goes when they're carefree and doesn't think correctly before they gamble. It feels that it's an actual gamble to them when they're already gambling with their money, it's an idiom.