1) Some people are simply mentally ill. After the first Japanese hostage was killed by ISIS, it came out that he was mentally ill. Not mentally ill enough to need to be locked away, but clearly incapable of making rational decisions regarding his own safety. People like this are simply always going to gravitate towards dangerous places because the internet makes sure that they know where the really dangerous places are.
2) Some people believe that they are special and the bad guys won't go after them because they are "helping". Most of the hostages fall into this category. Weinstein was like this. Alan Henning fell into this category and possibly the first one as well. Reports are that Henning believed to the very end that the fact that he was there to help would save his life. Sometimes these people get away with being in a dangerous location once and they think that they are simply lucky and won't ever be harmed. Henning went into Syria several times and was left alone. The second Japanese hostage executed by ISIS went to help the first one and he went because he'd been to the area before and thought he was special and the bad guys would leave him alone.
3) Some people are so overcome with their desire to help others that they can't rationally assess the danger and while they know if they are captured it's going to end very badly for them, they believe that they will simply beat the odds. Remember many years ago when Americans and Europeans volunteered to be human shields for Saddam Hussein? They were like this. A few months ago it got announced that a young American female hostage was supposedly killed in a bombing raid against ISIS. She had operated in the area previously and had to know the danger, but she believed that because nobody had yet bothered her that she could work there at no risk. She died as a result of being wrong about that.
There's some overlap between those vague 3 reasons I gave for people ignoring the real danger to be in places like Pakistan and Syria and so on, but I don't know how we can ever stop people from willingly becoming victims of their own bad decisions about personal risk.