Ok, let's ignore the individual. But gambling losses that lead to bankruptcy hurt creditor, for instance. Since creditors can't really easily separate out gamblers from non-gamblers, those defaults get spread across society as costs.
The linked article asserts that a large proportion of government welfare funds in Brazil are gambled away.
The linked article asserts that losses inspire domestic abuse. Consider that net winners may only win 51% of the time-- that's a lot of losses even if the individual makes out better in the long run.