Not all musicians work for nothing. And those that do, don't necessarily do so all the time.

Sometimes a gig is fun enough that money becomes a secondary concern. Sometimes a gig can further a professional career. Sometimes it's a community or fundraising event. And sometimes it's just because people know they can get away with exploiting musicians.

Some interesting thoughts about this here:
http://livemusicexchange.org/blog/playing-for-nothing-simon-frith/