They continue for various reasons... it's an addiction, they may be in denial of being pregnant, out of sight out of mind... if they can't see the baby, it is not as "real" as if the baby was right there sitting before them, they likely know others who have done so and their babies turned out "just fine" (again denial of the potential risks), they don't like being told what to do, they may not really want the baby anyway... see it as an intrusion to their lifestyle, human nature to think bad things only happen to other people, etc..
It is hard to imagine when you don't do those things yourself... easy to say just stop doing it. Some women are able to do so, others have a difficult time with it... may even need help with quitting, and some probably don't really care all that much.
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