Simply put, vet bills. Horses are not machines. In order to function at the top of a sport, they need nearly constant maintenance. It is not uncommon for these horses to be injected with Adequan (read $100 a pop) every 2-4 days. Vets are like hawks watching these horses, about $500-1000 for a simple "check-up" to make sure the horse is still sound. And if something is wrong, then you are going to pay to keep the horse sound. Good farrier work, and usually some corrective farrier work, like $300 every 6 weeks. Not to mention, at most training barns a dry stall (basically 4 walls) can run up to $2000 per month. And we haven't touched training yet!!!
A mid-level performance horse, without including training costs, is about a few thousand to upkeep. Not a top level horse.