Their question was not what do you think is the worst mistake in gambling, but what is your worst mistake?
Now, I am assuming you got greedy before and you are right that people who get greedy usually end up losing, but don't forget being greedy gambling implies you are already up, and it is worse to get desperate because not only are you down but you are trying to come back, and of course the odds are always against you. At least if you get greedy you might only lose some of what you gained and still walk away with a net profit.