The is grammatically possible, but semantically unusual, Vincent. There are very few marble players nowadays, but there used to be several games of marbles, like 'potsie'-- all of these were called 'playing marbles' (no 'the'), just like 'playing baseball' or 'playing draughts'.
I disagree, Neeraj. To me, playing marbles would be playing one of the accepted, formalised marble games (bulls-eye, potsie, whatever), whereas playing with marbles would just mean marbles were involved in whatever play activity was happening - perhaps throwing them into a bucket of water, or something.