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.
In some cases, many people experience regret when making the wrong decision when they are depressed or cannot control themselves. In gambling, self-control is also very necessary in order to avoid making the wrong decision, especially not analyzing, this will make every gambler fall and sink, and finally get more depression. So I really agree with your advice not to get involved in gambling when you are depressed, in order to prevent regret that will occur, and must be able to control yourself in every action that is being or will be done, especially in gambling.