In the season, many things happened for Tommy Shelby. He earned things and he lost things and people. People very near and dear to him such as his wife and brother. He was a successful businessman but he never stopped from taking the risks. After loosing so much in life, why did he still keep doing what he was doing? Why didn't he stop for the sake of his family and himself? As his horse trainer said, "nothing can change you" why was that? Why was Tommy Shelby so hardhearted about life?
I think one of the many answers is about making sacrifices to achieve a goal. You always get to a point when you have sacrificed too much to stop, and it would be like it was all for nothing if you stopped. We often notice that dilemma with gangsters - one last robbery before we retire - or with people seeking power (all the bad guys in movies). Eventually you get to a point when you ignore the cost of sacrifices.
Also, Tommy is one of those people who can't stop their head from thinking and working. He always has to be doing something - may be to empty his head from dark memories. So he wouldn't really be the type of guy who would stop everything to build a farm in the middle of nowhere - he wouldn't survive it.
Most of the time, he is just trying to survive to some past risky bets he did or to survive people who want his head. So when he gambles to save something or erase a mistake, he pays it a season after - making him doing other sacrifices and risky bets etc.