That might actually be the main cost of rationality. You may have goals that will hurt you if you actually achieve them, and by not being rational, you manage to not achieve those goals, making your life better. Perhaps, in fact, people avoid rationality because they don't really want to achieve those goals, they just think they want to.

There's an Amanda Palmer song where the last line is "I don't want to be the person that I want to be."

Of course, if you become rational enough, you may be able to untangle those confused goals and conflicting desires. There's a dangerous middle ground, though, where you may get just better at hurting yourself.