I would tend to agree BUT, one possible reason is that it may give you a foot in the door.
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...and from the perspective of a marketer and former sports apparel brand owner and athlete/race sponsor why bother buying the chicken when people keep giving you eggs for free?
Sponsorship is a business proposition with ROI (even if that's based on goodwill versus hard revenue) attached to it. As a marketer, you're going to already have a shortlist of ambassadors to invest in based on their ability to drive brand goodwill and ROI. Those athletes are businesspeople as well and will happily switch their loyalty based on support. And then the rest of the market gives you free brand exposure organically. Whether a potential ambassador already uses the brand/product or not isn't a deciding factor.
Sorry if this sounds like a long-winded lecturing answer to your brief point. I'm posting it here for the benefit of athletes trying to figure out their way through the sponsorship game.