No, I don't, but perhaps that is because I gamble for fun.
I believe that people are ashamed of gambling when they develop a problem or addiction, because they are seen as weak willed and stupid. I think that if you feel ashamed of gambling, you might have a problem and might have to seek help if necessary.
Actually there is nothing to be shamed of being a gambler, nothing is wrong with that if you can handle your self and you aren't becoming a burden to anyone around you.
What is shameful of being a gambler is when you are already pissing your family because of your habit, you steal money because you need to fund your bankroll, you got a lot of debt because of gambling and worst, when you look like an idiot and a different person from what you are before, we should be ashamed if that's the case.