Pro: They are not going to close during a US bank holiday.
Pro: A European casino may allow you to convert chips to Euros upon cashing out (a few years later?)
Risk: The casino may go bankrupt as it is a business. Diversify your savings would be better. Euros, Canadian Dollars, or other semi-stable currency not USD.
Con: You have to travel back to the single location to get cash. You may have to travel back to Europe to get your Euros out.
Far simpler to just bury Euros in the ground.
Discussed at the URL below.
URL #1: http://thementalmilitia.com/forums/index.php?topic=19892.0