That's simply not true (or else your definition of sane is very limited)
Just as a random example, the death rate for climbing Mount Everest is 10% (!) If sane people always seek to reduce risk then only insane people would climb Everest.
or else your definition of gain is very limited.
You seem to be implying a mountain climber makes no gains by tackling Mt. Everest. The risk is not what is preferred, the sense of accomplishment and fulfillment is what is preferred. Without gains to be had, the mountain climber would cease to choose decreased lifespan unless they intrinsically enjoyed suffering.
But I'd argue that "gain" is quite similar to the utility a entrepreneur gains from doing a risky company.