Someone might rationally gamble to learn strategies for future wins most casual gamblers do not think that way. Instead of this their enjoyment comes from deep seated emotional and psychological reasons. This includes thrill and hope of big win that creates exciting rush using gambling as way to escape everyday stress and be entertained and enjoying the social atmosphere with friends or other players.
Even though people usually hate losing occasional big win can make them forget smaller losses driven by powerful pull of unpredictable rewards. This is not necessarily sign of stupidity or dishonesty but other how emotions and certain ways of thinking influence decisions making people genuinely enjoy experience even when it does not make logical sense.
This is why gamblers mostly avoid free games without risk of losing money intense excitement they crave simply is not there, showing that for many fun is tied to very real stakes involved.