A good reason for not playing the lottery is that you can get better odds by playing roulette, or using other forms of gambling.

Roulette doesn't give a big enough payoff to move you up into the steep area of your utility function, so it doesn't get the "a dollar won is worth more than a dollar spent" effect.

It would also be a plausible conjecture that, if someone's utility function is sigmoid, and they're on the low end of it, their model of their utility function is an exponential. That would enhance the effect.