Because it's fun.
That's really it. That's 90 percent of my reasoning right there.
I don't think it would be fun for most people. It's hard work, and no matter how much you know about marketing or art or layout or editing, you've got a lot to learn. And you're not going to make much money. Not unless you've got some leverage - like you can afford to pay a great cover artist and hire an editor, and you are just a natural at book publicity, and you have a whole bunch of books all ready to go which happen to be something a bunch of Kindle owners happen to be starved for.
The other ten percent of my reasoning is because in this publishing climate, I don't have a good reason not to. I like to write what I want to write (dangit!) and that is not always... commercial. I wrote the first Mick and Casey mystery quite a while ago. At the time, there was no chance at all of selling it to anyone.
"Nobody wants westerns."
"But it's really a cozy mystery."
"Ack, NOBODY wants cozy mysteries. They're too bland."
"But this one has gunfights in it."
"And gunslingers playing with dolls!"
"Uh ... no. Thank you anyway."
Now, I knew that someday somebody would be interested, so I set it aside, and wrote some short stories on the series (and published them, and one got put forward for an Edgar). But because of the way traditional publishing works, I really didn't get the chance to properly follow up on Have Gun, Will Play.
See, in traditional publishing, you don't want to write a second book in a series until the first is sold. You can't submit that second book, so your best bet is to write a whole bunch of first books for different series. Maybe later, after you've sold one series, you might have a chance at selling some of the others. But without a bunch of first books, it's hard to break in. Lots different first books give you a shot at hitting a flavor of the month. Second and third books are just not in the game.
And that is because of the downside of traditional publishing; a book has to support not only the author, but all the people who work for the publisher and the distributor and the bookseller, and the shippers and printer and paper makers. They can't take a gamble on a mystery western until the audience is ready for it. They can't afford to slowly build an audience the way they once could.
But as an indie publisher, I can afford to take the time to build an audience for it. I can just go ahead and write it, and promote it, and write more.
And that's what it's all about.
(Be sure to check out all the other answers to the question at Dun Scaith's blog carnival tomorrow!)