People who gamble might only would shy if they found somebody else of their relatives or friends seen them in the casino and they get caught. As may be world would know that he does not gamble but being caught is an awkward position and it is a bad feeling as well.
Possible that this case will happen, you would felt some shyness if someone who near to you would see you playing inside the casino when they are not aware that you are doing some gambling, I guess there's a lots of different feelings when things is happening not according to our plans, it can add some
worries and not being focused when you are in this situations, though it can also be overcome when you are already enjoying or you are already so aggressive playing gambling.
Why would someone close to you will even be in a casino with you if they are not gambling as well. I am sure to even see such a scenario occurring, it must have been someone you are very close to and you both share the same activities most of the time, and in that case, you are definitely not going to be shy. I have not seen a case that would actually make someone shy anyway except for the fact that you will surely be trying to not let the society or family know what you do in your space once in a while.
Except a lot of people do not know what shy means, but fear and shy does not have anything to do in common. If you are afraid, it is either you are trying to run away from something that makes that exact thing you are doing either illegal or not perceived well in the society and people seeing you may not speak well.
Being shy is more like being nervous in the company of other people, but I feel if they are people you both share the same activities with, which in this case is gambling, I see no reason why anyone should be shy.