For someone with a six-figure income, the marginal utility of an extra $100 is basically nothing - but "notionally worthless" shares are a bit like getting a free lottery ticket every week. You don't expect anything to come of it, but it's nice to dream - and the regret-avoidance factor of not wanting to let go of your lottery ticket is huge. Of course none of this considers the true downside, which is the opportunity cost of working at a startup in the first place, versus a more stable or better-paying alternative.