I've lived in places that allow various forms of gambling from the lottery to casinos. Nobody wins.
It is really simple economics. Everyone has necessities such as food and shelter. Poor people have money for these (maybe) and wealthy people have money for these plus luxuries. When someone doesn't have money for necessities, society steps in (through both public and private means) to share the burden.
Gambling targets the poor. Thus, most of the people spending their money on gambling are spending money that they would otherwise spend on necessity thereby creating a greater burden for society.
There are two common arguments for gambling. First is the idea expressed in the OP that it is an individual choice. I agree that what you do with your money is an individual choice, but if all of society is sharing the expense, it is no longer your individual choice. In that case, society has every right to decide that gambling is a bad idea and restrict it.
The next argument is always that it will benefit everyone through tax revenue. This makes no economic sense. If a person gambles away their money for necessities and society then must cover what they lack, there is no profit from tax revenues. It is just (as the saying goes) robbing Peter to pay Paul.
People will say, "if you don't like gambling, then don't play." The fact is, if gambling exists where I pay taxes, contribute to charity, etc. then I've lost without even playing.