I know I lose money in gambling...

[DPHOR]

But I’m sure I’m not the only one, so I just want to hear from other gamblers here on why do we keep coming back, even though we know that in the long run, we’re losing?

If gambling were a business, it would be like running a losing business something any smart business owner would shut down ASAP.
But with gambling, why do we keep playing, even when we know we’re not winning? (I'm talking about overall performance)

Most people continue to gamble to chase a high. The thought of winning a life changing amount of money is a contributing factor as well, but mostly they are just chasing the thrill they get on a win.

You can't win if you don't play comes to mind. You also can't lose though.

You exactly have the right answer to it because a life changing bets are what regularly keeps people around the casino even if they are losing they wouldn't consider it as something detrimental to them but provided they are hoping for them win next time they would keep gambling. For one to win they most lose and anyone who wants to win alone without experiencing loses would never secure winning and even when there seems to be first time luck they will not know when they lose all the money back to the casino.

[Stalker22]

After you lose you want to win your money back.  This kicks off a nasty cycle where you dig yourself into a deeper hole by chasing those wins.  Of course, the math is stacked against you over time.  Still, in the moment, emotion tends to override logic when those chips are on the table.  Ultimately self-control falters and addiction takes over for some unlucky gamblers.

[Jaycoinz]

But with gambling, why do we keep playing, even when we know we’re not winning? (I'm talking about overall performance)

I keep gambling even after losing because I am gambling to lose. I have no intention of earning anything from gambling or having any desire to earn anything. Considering gambling as a means of entertainment, I spend money on gambling that is not valuable to me at all. Even if you control your emotions and continue gambling for entertainment, you are not losing anything. Because you are spending money for entertainment from which you do not expect anything in return.

Aside the whole reason everyone is claiming, I think the actual major reason gamblers still go back gambling is because of the fact that they have hope of winning or replicating some kind of gambling session in which they had positive results before or moreover other gamblers do it because of the wild results that they hear which triggers that feeling of still replicating the same wins they hear.