This is an interesting issue and something EVERY gambler should be aware of -- Ask yourself this question --
What are you trying to achieve by wagering?
(1) Make money -- If this is your purpose, you should have a relatively sizeable bankroll at risk over the long haul and the book will beat your ass senseless and perhaps destroy your life if you don't show discipline -- in this situation, you simply CANNOT affoard to chase games for the thrill.
(2) Entertainment -- If this is the purpose, you are generally playing with smallish amounts and you can sustain long, long losing streaks without jeopardizing your livelihood -- I have absolutely NO PROBLEM with entertainment gamblers, as long as they realize that they should not EVER have serious money at risk. If this is your style, go ahead and chase.
GL