First of all, losing sucks. Especially if you lose “unfair” like being ganked, blobbed, hotdropped (special mention to getting scammed).
And even if you have money, you need to replace your loss. Now, if you are staged at Jita, sure that is not a problem. It probably won’t be a problem for nullsec corps either. But if you are staged in abandoned hs/ls where is no market, then losing your ship really sucks.
It is really psychology. Risk, specifically chance to lose everything, is good as it raises the stakes and brings adrenaline. But what it really does in the end is that the both the joy from win an rage from loss are multiplied exponentially.