My guess at what's going on here is that you're intuitively modeling yourself as having a bounded utility function. In which case (letting N denote an upper bound on your utility), no gamble where the probability of the "good" outcome is less than -1/N times the utility of the "bad" outcome could ever be worth taking. Or, translated into plain English: there are some risks such that no reward could make them worth it -- which, you'll note, is a constraint on rewards.