For the same reason a techie might work for a low bug bounty. Or go to a hack-a-thon. Neither pays well, relative to time invested, but the experience itself has value. And there is the prestige earned, which may translate into future earnings. For an athlete, those future earnings could come in the form of future coaching opportunities, etc.

That, and world class athletes are just wired differently than you or me. In addition to the obvious physical gifts, they must share some of the personality traits with politicians and executives - incredible competitiveness, large ego, etc.