I'll chime in my two cents here. Probably cost for research and development, and fabrication of the headphones are what makes this headphone so expensive. This is a completely new level of fabrication with a diaphragm of nanometre scale. Even though STAX has micron-level diaphragms, they've essentially had the last 40 years to perfect the manufacturing process.
I have no idea what kind of research Dr. Bian did for his PhD thesis (I can't seem to find any scientific publications with his name), but my guess is that very little of it applies to this headphone. If anything, nanotechnology is still fairly new and mysterious; most people probably only know of the nano scale from the buzzword "carbon nanotube." Getting a driver diaphragm material on the order of a nanometre at that large of a surface area is probably no trivial task, let alone putting the conductive traces on it which are required for any planar magnetic speaker technology. This isn't an electrostatic headphone where the micron-thick membrane is just that, essentially suspended between two stators, you actually have to put traces on the diaphragm.
People who D.I.Y. electrostatic speakers always emphasise having a very clean working environment with minimal dust. If you get a piece of dust on your electrostatic driver, you're pretty much going to get distortion of the driver in that one spot. Imagine what a piece of dust (micron-level size) would do if it gets on the HE1000's nano-scale diaphragm.