I gave an advice to my friend who is doing a startup. I told him it probably won't work out. But we continue with our own line of thinking because the outcome totally depends on reality. Also, my friend can tack on lot of ifs later on (if only this and this and this had happened, I would be successful) to "prove" himself right. It might be possible that with no decisive outcome favoured by reality, we would both continue to be right in our heads.
In situations like that, sometimes people just want to TRY, whether or not they succeed, even if they expect it to fail.
The act of trying is what matters to them.
Pursuing potential romantic partners or starting software projects are some prime examples :')