What we actually fear is uncertainty, which includes uncertainty of loss. Risk differs from uncertainty, because it uses available information to make an assessment of that risk. There is always some uncertainty inherent in risk, but by using the available information, the uncertainty is reduced.

Gambling is an interesting example. In that situation, uncertainty is what drives making the bet, because we know that the odds are against us. It is an inherently irrational decision in most cases, driven by a desire to feel an adrenaline rush. I stopped gambling years ago, because losing felt worse than winning felt good.