Because you enjoy it. If you're fixing your issues, it must be through pain and suffering. If it doesn't involve pain and suffering, then it isn't fixing your issues. The "Protestant work ethic" doesn't come right out and say that, but it's the implication.
See also: denial of LSD and psilocybin for mental health purposes.
For the seminal analysis of this topics, there's Max Weber's book “The Protestant Ethic and the Spirit of Capitalism”. But it is really dry reading, so I would suggest finding some YouTube essay video that summarizes it.