I'm in the process of removing my co-worker from my EVE Online corporation. He hadn't logged in for a couple of months and he told me he was leaving. With the kids growing up and working a lot of crazy hours, he just didn't have time anymore. Oh, and he really didn't like the fact that players can lose their stuff in EVE.
No one can say he didn't wander into dangerous grounds. His first loss was exploring in a wormhole and his second taking a Venture into low sec. I think those two experiences soured him on the concept of EVE's death penalty. Knowing that type of loss can happen intellectually and actually experiencing it are two different things. EVE's death penalty is one of the things that makes EVE a niche game.
I think that one of the problems when other people log into EVE after playing other games is the concept of actually losing gear. To them, really good gear means something. To EVE players, our gear is almost all player-made and usually available in a trade hub for ISK. That's why the first rule of EVE is: don't fly what you can't afford to lose. For pilots of frigates and even cruisers, really good equipment is relatively cheap and, except for Catalysts during Burn Jita, usually readily available.
The thought that struck me as funny this morning is that raiders in World of Warcraft or other games don't blink at the thought of paying massive repair bills. The effort of replacing a piece (or 7) or gear is what they find objectionable. They've already put in the effort, why do they need to put in the effort again?
I know losing my first couple of ships in EVE was a pretty daunting experience because of the time involved replacing the ship. I was new and didn't have any backup ships already purchased and fitted. In other games, I died, rezzed, paid a repair bill, and went on my way. In EVE, I had to go shopping! A pretty good incentive to not lose a ship.
Now, I have backups of my ships purchased so if someone kills me I can just go on my way. That happened the last time I lost a Procurer. The only thing I needed to do was take a few minutes to fit my replacement ship for ice mining instead of belt mining and I was on my way. Which was good, because I made a deal with the guy who killed me so he'd let me continue ice mining.
I'd wager that a good percentage of those who PvP either already have a lot of ships ready to fly in case they lose their current ship or are in an alliance with a good market where the pilots can purchase replacement ships quickly. In effect, those players have pre-paid the death penalty (unless podded, and many don't mind that) and can treat their losses like players in other MMORPGs treat their repair bills.
I think one tip experienced players can give new players is, if the player has a ship he/she likes, to purchase and fit a second one, just in case. That would make losing a ship just a little less painful.