It's like with high culture and art; Lots of art is simply being passed around multi-millionaires and billionaires. Since there's such a limited pool of buyers, the price is essentially whatever the next buyer is willing to pay for it.
Same goes for buildings - If I decide to pay $5MM for a $1MM house, just to park my money in it, I better find some buyer whose willing to pay in the same price-range, or else it's gonna be a substantial loss. Driving up prices, and keeping them artificially high, is not sustainable - unless the area happens to see some major influx of people, and the demand starts to grow organically. Bonus points if it's a very difficult area to develop in, which limits new buildings / real-estate development.
But as for the reasons, who knows - could be:
- Tax evasion in their native country - Ill-gotten gains they want to hide, or money laundering - Alternative investments