I think part of it is what you said. Even in Western countries where people have way more education and slack, people often underinvest in preventative health like flu shots, so it makes sense that people in third-world countries would fall prey to this too, and many more probably don’t even know about the benefits of nets or how to get them.
Another pair is economies of scale and spillover effects. IIRC it’s cheaper per net to protect a whole village at once, and because malaria nets are treated with insecticide, nets kill mosquitos and so they protect other people as well. And people tend to underinvest in things with positive externalities like that—again we go back to the flu shot example.
There’s probably other reasons, but these are the ones I know of.
This is where my knowledge ends I’m afraid—the EA Forum / GiveWell may know more, or perhaps someone here can chime in!