While playing and there may be gamblers unknowingly experiencing the thrill of free spins and the results are far from expected.
If you lose and the money runs out, then the phrase about gambling for fun cannot be interpreted in the way you mean.
It could be that the gambler came to play already knowing that he would lose his money and throughout the game he was entertained by the fun he had during the game.
For me, the answer is the same as going to a club to party, even if the person leaves the room drunk.
The club instance is right, it also applies to sport events, NBA seats cost more than a thousand dollars in the finals, and the spectators go there to enjoy the thrills and go home either happy or sad depending on who won the game. Some also went there for fun with family and friends and is not concerned about the result. Gamblers are to replicate this attitude whenever in a session, that the money spent was only for fun and isn't qualified to determine their mood.