I look at it this way. I think of owning these pieces of art as an aesthetic experience, rather than an investment. I get the "value" of being able to look at and enjoy the art from time to time, at my leisure and convenience. That, and knowing I'm the only one who possess it, gives me psychological satisfaction. I compare it to going on a nice vacation, or eating a very nice meal. Once you spend the money on those things, it is gone. And all you have are the memories and the experiences.
Now, imagine a world where you could "re-sell" your past vacations and meals (bare with me, its a thought experiment, not to be taken literally). Sometimes you may get back a larger amount of money than you spent on them originally. Sometimes you break even. Or, sometimes, you take a "loss." But, in each case, you still have the "value" of the experience and the memories.
Nobody thinks of "taking a loss" on a vacation or a nice meal. They are not paying for an object of value, per se. They are paying for the experience. The same is true, I think, with most collectors of Original Art. Or, art of any kind, for that matter.