As far as I can see, it’s because the type of kids who apply to selective colleges tend to idealize these colleges and therefore assume that they are full of super-bright kids who just cruised through high school, easily getting As, getting prizes, etc. They see the accomplishments of the few students who make the headlines for winning top prizes, etc, and assume that these are the average students who attend selective schools.
They do not realize that the majority of kids who attend selective schools are “average” smart kids who work really hard, usually had a good level of parental support, and had a large dollop of good luck.
Moreover, despite the constant talk here about how you need some sort of “hook”, the majority of the 950 students who are in the middle 50% range of students accepted to, say, Princeton, are really no different than 9,000 kids who were rejected. Even many of the 430 who make up the top 25% are only a fraction of the kids with similar profiles who applied. So there may be also a type of “survivor’s guilt”.
Finally, I think that it’s because many parents push their kids by constantly telling them that they aren’t good enough. So, if a kid has been told for 10+ years that they aren’t good enough and they need to work harder if they really want to get into a selective college, they will continue to feel that they aren’t good enough, even if they were accepted.