I like to use the downhill skiing parallel, because most people have done it (yes, even in the Midwest...we just drive farther to find the slopes). Here's how it goes:
Disapproving Person (DP): I'll never understand...why do you do it?
Me: Ever been downhill snow skiing?
DP: Of course.
Me: When you ski, do expect to fall?
DP: Probably.
Me: When you fall, do you expect to feel pain?
DP: Maybe.
Me: Do you ever expect to get hurt, like sprain an ankle, twist a knee, etc.?
DP: It's always a possibility.
Me: Do you think you could get hurt bad enough to end up in the hospital?
DP: It's never happened....
Me: ...but you know someone who got banged up that bad?
DP: Well, yes.
Me: Do you expect to die while skiing?
DP: Oh, please....
Me: Hey, it happened to Sonny Bono.
DP: I don't ever think about that consciously, but yes, it's a remote possibility.
Me: So every time you hit the slopes, there's a chance that you could get hurt, or even die. Why do you do it?
Now, here's where you'll get any number of responses, but they're usually along the lines of "Because it's fun." To that you can say, "Ditto."