Even for a rational person, robbing millionaires isn't easy because few millionaires have something light, portable, and generic to steal (i.e. cash) lying around the house. Jewelry may be hard to find, kept in a safe, and/or easily identifiable, which reduces its value and makes it less liquid. Cash is the most liquid and generic store of value, and it's also very portable.
Further, I'd suggest that robbing liquor stores is probably a much more common crime because they also often have lots of cash in the register and aren't as well-guarded as banks.
1. http://www.usnews.com/news/articles/2012/06/11/what-you-shou...
If you were going to rob a millionaire, where would you start? Who would you target, how would you case their home, and what would you try to steal? As smt88 points out, it's not like they're likely to have lots of liquid assets lying around the house. A lot of millionaires have a big portion of their net worth in equities and real estate, and the majority of their cash is almost certainly in the bank.
As Willie Sutton reputedly replied to a reporter's inquiry as to why he robbed banks, "that's where the money is!"
Maybe you mean Billionaires? In which case, they don't because of private security, they're difficult to find, and anyway those people don't care cash.