You're thinking of the traditional CAPTCHA that requires an active effort from the user. Those do present a barrier to entry where some users give up.

But there's a new breed of them that work behind the scenes and are transparent to the user. It's likely that by the time the user has finished interacting with the form, or with whatever is being protected, that the CAPTCHA has already determined whether the user is a bot or not. They only block the action if they have reasons to suspect the user is a bot, in which case they can show a more traditional puzzle. How effective this is depends on the implementation, but this approach has received good feedback from users and companies alike.