Blokes (famous or otherwise) do it because they like the chase.
Someone like Mick Jagger, who has already enjoyed cogress with enough attractive women to populate a small eastern European country, still loves to chase after women, and is known to get bored when the conquest is achieved - the chase is everything.
With famous men who can attract most of the women they want, the same thing applies - they want what they can't have. Move that scenario into our modern obsession with instant communication, and it stransfers to texts, tweets etc, which are prone to being discovered - hence headlines for the famous, if not for the rest..