The same reason people enjoy UFO: Enemy Unknown's casualty rate. Under the right conditions, that kind of risk is enjoyable, and it's also cool when you can work around your vulnerabilities and do something very impressive with the little you have. Some games take it to a level that's absurd for most people (the DCC funnel and The Tomb of Horrors come to my mind), but the general idea that you lose a few characters at the start is pretty okay as long as nobody takes it personally. And cruel, occasionally random death makes for cool war stories. The characters I have lost are probably more memorable than some I have won with - like my very first, unnamed Fighter who got killed in a mine by orcs on his first adventure, the 2e thief who got greedy and wandered into a side-crypt inhabited by wights, or the 3.0 combat monster who was critically hit for 36 points of damage by a greataxe-wielding orc.
When I GM, I mostly start my games at 3rd level where characters are a bit more resilient, but 1st level deathfests also have their charm. You need a specific mindset (the polar opposite of the build mentality) and easy character generation, but it can be quite enjoyable.