Sports

Several reasons. Everyone that lives where taxpayers are funding the stadium pays into it whether they use the stadium or not. It mostly is for millionaire athletes who most live outside of the city limits so you don't see much of a multiplier effect as you see with other things. There are other things you can spend the money on that will help your city in a lot of cases more than a sports stadium. Also most of the businesses that rely on the sports stadium do so mostly during the season.

You're right though that athletes pay multiple state income taxes though but for the money that it costs to build stadium there are other things that would have a better return on investment.