Animals do not have fun because they have no word for fun:
humans have guilt because they do have the word fun.
No form of life acts in ways that do not please it; not plants, not animals,
not insects, and not man,
but man is made to commonly try to camouflage, even deny the fact that
he is enjoying what he is doing:
it is so much a part of everyday life that it goes as unnoticed as does in speech
the words, “you-know.”
Those in occupations sufficiently dangerous to garner public attention,
such as race car drivers, fire fighters, policemen,
after happily describing their involvement in some exciting event
will routinely follow that with mentioning the great tolls their activity demands of them, as though what they do is a sacrifice on their part,
but there is no such thing, (apart from the word itself, which,
having one always comes in handy for the non existent).
Men do not volunteer as soldiers because of allegiance to a nationalist ideal,
but because they enjoy it;
people do not become aid workers in desperate locales to serve their fellow man,
but because it gives them pleasure,
and parents do not sacrifice their own desires for the sake of their children,
because they love them, but because their hormones give them no choice
(and no body goes against their hormones  --  not if they want any peace in life!).
Just because there are activities that do not attract you, and may even repel you,
does not mean that others cannot there from, fun derive.
 

And this is not confined to daredevils occupations;
listen to ordinary people tell the tales of their lives,
and whatever experience they initially relate with relish & pleasure will surely be followed by a comment of how it was not all fun, and indeed, had its downside.
According to ordinary men’s accounts: there is nothing they ever do,
no matter how exciting and glamorous it may seem to outsiders (a movie actor)
that is not ripe with hardships, pain, and sacrifice --  dear friends of this planet --
plainly put --  life is not simply a matter of FUN! --
no matter perhaps, how much we would like it to be so!  --   ahhhh,  but  --  not so:
men can say that they wish their life could be just one endless ball of fun;
life allows, nay --  urges them to so say, but then makes them not only feel that such is not only not probably possible, but moreover  --  is not proper.
 

Being human (as per the programming you come with) is  --  serious-business,
sure you can have fun here and there (always with its accompanying cost, of course,
and appropriate disclaimer as to its total funness),
but overall (as every right person knows) being human is not fun & games –
it is a serious business  --   what with earning a salary & raising a family,
with community & cultural obligations,
and the constant striving to succeed-in-life  --
to be-somebody --
to make-something-of-yourself --
none of which are possible unless you are willing to not have fun  --   not total fun, anyway.
You must engage in activities from which you can say you do not derive pure pleasure, but which indeed impose a burden on you, and in fact take away from the joy of living,
but the fact is unshakable: nothing alive does anything that does not please it,
and the, please-it pertinent to every life form is the pleasure of continued existence, and a demonstrative part of man’s is his enforced insistence that,
by & large his existence is not  --  just fun –

Life has men commonly attributing this situation to supernatural sources,
or unnatural morality; the time tested and tolerated idea that men
should suffer for having fun  --  but there is something cellular going on,
something much deeper that the mere story telling of thoughts,
which always comes after the reality of the facts.
In your self is the place to best study this phenomenon;
for profit, you must discover & realize all for yourself what another has above noted;
you need see clearly, even at the very moment the feeling and experience are on you,
that there is built into your human psyche the automatic urge to deny in thought & word that life is fun,
and that everything you do gives you pleasure,
even those things which by public definition do not (such as being mad or sad or anxious).
When humans have fun (which as supra spotted is completely unavoidable)
they are made to condition it  --
are forced to say that even the most appearing of fun is not ALL fun,
but in every instance has a real, and often painful price.
Men, to be accepted as normal and sane by their peers, cannot admit to having
unconditional fun --  it must have a downside --
men must confess to feeling some tinge of guilt  --  regret --
for the amount of fun they did have:
(“Oh, the dinner we had at that new restaurant was just marvelous!  --
I have never enjoyed a meal as much in my entire life  --  but my god!  --   the bill was unbelievable!
I felt horrible thinking how that much money could feed a whole family for a year
in some poor part of the world  --   I felt just horrible!”)  –
and examples are in the same number as human activities.

There is nothing moral afoot here  --  no grasp of some great spiritual-law ,
or metaphysical-justice-system,
and man is not made to feel guilty and unable to enjoy his fun unconditionally
to pay for some past affront he inflicted on the gods, and is also not from any psychological quirk brought on by events in his personal life,
and while no man can ever say with total objectively why this or other things,

Face the fact --  then stuff it in your mental face and chew on it good, (like so):
“Men do not do anything that does not give them pleasure,
yet they are routinely made to deny it is so  --   what is going on here?”
 

Look around  –  open your eyes and clear your ears:
it is a part of man’s very nature to claim that amidst anything that gives him pleasure -
                                                              is a pain;
                                                              that all joys entail sacrifice,

Try explaining this to your dog or cat (or a hippo if you have access to one),

*aka: You Can't Catch Me.