Similar to the reason why someone is married the wrong one but just can't get himself/herself to divorce. Certain types of people tend to be very averse of sunk cost even if they are well-aware that they will lose more if keep going. This is very unfortunate though.

I found that academically excellent people are especially easy to get in this type of trap -- maybe because that "never give up" and "overcome the difficulties" rather than giving up is engrained by the process.