It's an ego thing and not at all different for Legends than for us ordinary mortals.
Other than that it may be due to a lack of knowledge.
The average of Legends is calculated from the 400 best rated Legend rounds. When a player has reached that number low scores will kick higher scores out of the calculation.
A new Legend "protects" his average for the moment by quitting but this will be void until he may enter the list of "100 best Legends".
Furtheron he may hinder his own success by being stiff instead of being relaxed during the games.