That is the irony right there. If you are playing to win, you are going to lose more. If you are playing to have fun, you are going to have a much better time with gambling. If you are playing for entertainment and to pass time, losing does not hurt as much. Remember in this case you don't have a goal so whatever happens is fine. Of course you still would prefer to win even when you are doing this for entertainment but if it does not happen it is not a big deal.
I have always struggled to understand what is ment by not playing to win or playing to have fun because to the best my knowledge, the fun is full when you are winning, and I have almost never seen anyone who is gambling without the intent of winning, it is mostly because they want to win and not to loose. Even when you want to be entertained you need some winning to spice up the entertainment.
Most persons always use this pretence of not gambling for money and just for fun to cover up with their pain after they may have lost the game some times, because they even get more fun when they win much more than when they are loosing even if they are gambling with an amount they can affiliate to loose.