The objective of this study is, by using the general theory of rationality (GTR), to better understand the rationale underlying gambling behavior in adolescents considered to have gambling problems. The study explore gambling associated benefits, negative consequences of gambling, and the adolescents’ perceptions of the severity of their gambling behavior. The qualitative research is based on semi-structured interviews with 31 adolescents considered as having gambling problems. The analysis revealed that gambling behavior are based on a threefold rationality: instrumental, cognitive and axiological. The GTR allows to better understand why most of them do not consider to have gambling problems.