Pretty sure NHL players aren't paying 40% in taxes. If they are, they should fire their accountantYou have to remember, players only have a brief window to make money for themselves. Take at least 40% away from taxes, take 5% (or whatever) for your agent, you've got an accountant, and playing expenses, and money doesn't go as far as you would think.
And after they retire at 35 or whatever they need to have earned enough money to live the rest of their lives. They are also at increased risk for tons of different medical problems as they age.
In short: You gotta make that paper.