Preferences aren't subject to being right or wrong. When the important factor is personal preference then it doesn't hold that someone who prefers the cheap product is wrong, or has something wrong with them.
I have no idea what a $1000 dollar headphone might sound like but I do know that I like my Koss KSC75 a lot more than another headphone I own that cost ten times more, and another that cost about six times more. I bought the KSC75 only because it was so cheap that I could "throw away" the money on seeing what the fuss was about. It turns out that against my expectation I'm really pleased with it. If I had owned the KSC75 first and then spent ten times the price on something else only to find I liked it a lot less I would have been really annoyed.
With other headphones I've felt a bit dissatisfied, not exactly unhappy but still sure that I could have made a better choice, or that if I spend a bit more I can get a real improvement. That kind of curiosity can get expensive. It's nice to have something that clearly isn't going to be trumped by a near competitor and which can stand on its own merits without reference to price.
I think a big factor is having a really well balanced sound, which is something most budget headphones don't manage, and lots of more expensive ones don't do well either.
I found it quite entertaining to visit headphone.com and compare the frequency response graphs, starting with the Sennheiser HD800 as reference. It doesn't take long to realise that many cheap and midrange headphones make a mess of the higher frequencies. Of course the KSC75 don't achieve the evenness of the expensive Sennheisers but they do an awful lot better than many budget and midrange 'phones which tend to either fundamentally lack high frequency response or to have extreme peaks and troughs. It's interesting to see the KSC75 maintain a relatively even response all the way to 10000 Hz. Obviously there is more to how any audio product's sound than a frequency response curve but I think it does give a clue as to why the KSC75 sound very natural where many substantially more expensive headphones can sound dull or harsh. When you have a headphone that allows music to sound natural then any other headphone that doesn't achieve has very little appeal, and it doesn't matter if it has better bass response, or smoother sounding highs, or any other quality. If the balance isn't right any and all other good qualities don't count for much. And if the balance is right but the price is huge I'm also not that interested, being already quite content.
