The near-miss has been considered an important factor of reinforcement in gambling behavior, and previous research has focused more on its industry-related causes and effects and less on the gaming phenomenon itself. The near-miss has usually been associated with the games of slots and scratch cards, due to the special characteristics of these games, which include the possibility of pre-manipulation of award symbols in order to increase the frequency of these "engineered" near-misses. In this paper, we argue that starting from a basic mathematical description of the classical (by pure chance) near-miss, generalizable to any game, and focusing equally on the epistemology of its constitutive concepts and their mathematical description, we can identify more precisely the fallacious elements of the near-miss cognitive effects and the inadequate perception and representation of the observational-intentional "I was that close." This approach further suggests a strategy of using non-standard mathematical knowledge of an epistemological type in problem-gambling prevention and cognitive therapies.