What's thrilling about losing all the time? Game is thrilling when you don't know the outcome, when you can either lose or win, or get even, but you never know what's going to happen.
I guess the thrill is on not accepting the common fact. I mean we all know and have experienced about the final outcome of gambling still keep trying to become unique among all other gambler kind of thinking must push gamblers to keep on trying. When you imagine about something different outcome then definitely you will feel thrilled and will get ready to put all your efforts.
If you meant to say that winning money with gambling shouldn't be our main goal, and that the main goal should be having fun, then I agree with you, but, think of it, it's not much of a fun to be losing all the time.
I am sure 99% of gamblers do not set fun as their goal at first few attempts. But only after unable to achieve what they want to get then slowly getting into "fun seeking" mode.