Gambling doesn't equate anything bad or dangerous act, there is nothing that gives peace of mind than telling your partner what you are doing. If he is the kind of a person that doesn't like gambling and he later found that you are gambling and hiding it, there will be a problem and it will bring lack of trust between you guys, the earlier you tell him the better for the health of the relationship.
You never can tell if the both of you might like gambling you know, putting two heads in some gambling situation is better than one and when you lose, you are not the only person that would worry buy the both of you and no way depression will comes.