Anti-nuts wins. Fold instead of check?

[prayformojo]

Party Poker 2/4 Hold'em (9 handed)

Preflop: Hero is BB with 3, 2.
1 fold, UTG+1 calls, 6 folds, Hero checks,

Flop: (2.50 SB) 9, J, 8 (2 players)
Hero checks, UTG+1 checks.

Turn: (1.25 BB) J (2 players)
Hero checks, UTG+1 checks.

River: (1.25 BB) K (2 players)
Hero checks, UTG+1 folds.

Final Pot: 1.25 BB

So, what possesses a person to give up on even a tiny pot when all he has to do to have a shot at it is click check? The pride factor seems to be minimal since he only limped in. Are some people just so good at convincing themselves they are beaten that they'll do this?