Because spending like a "playa" is the quickest and easiest way for a pro athlete to return to poverty. These are, for the most part, not nepo babies who were born rich nor are they so well educated that they have a six or seven figure job to fall back on once their playing careers end. In other words, the money they're making during their careers is as much big money as they will ever make.
Additionally, a player has no idea about how long their careers will last. For most players, it's between 4-6 years and not all of them earn life-changing money for very long. Considering that most players are done by age 30, they need to make sure they can live off of what they made for the next 50 years. Otherwise they need to get a job.
So while they dont have to shop at Walmart or rent rather than buy, they should still exercise frugality. You can have a nice car, but it doesn't need to be a Ferrari and you dont need more than one or two vehicles.
Because that rainy day will come.