Because even if you lose you still find way to gamble after all. And when you win a little you totally happy and then you are inspired to do gambling again to try another luck on it.
Gambling has no difference on anything that is addictive, except for their effect.
So entertaining it in the first place is like giving it a chance to tie you to it. You have a point there that when we are "winning, we really feel happy". That's one reason, aside from that, there are other gambling addicts who are there not because they are enjoying it, but because they have no choice, and gambling is their bread and butter.
I think gambling become addicting because people who have a lot of enough do not know what to do anymore, when they get bored. They have so much money they cannot even count, so they can do whatever they want.
And when they find gambling, they feel interested and exciting. Of course not all rich people will do that, but usually, people who become addicted in gambling are rich people. Poor people will focus and make their asses work harder to become successful. They will not risk their money out of some luck and fortune. Only crazy people who do not have money but willing to risk theirs for entertain and luck.
