You can do better elsewhere, but you can also do far worse. The risk at losing money on an MLB team is next to zero since it hasn't happened yet.
MLB teams are just status symbols for these old rich dudes. If you get rid of the 30 owners and replaced them with 30 other owners, I'm not sure anyone would notice the difference. If you replaced the 1200 players on each team's 40 man roster and replaced them with the next 1200 guys, the product would suffer immensely.