As a shameless self-promoter, I don't really understand it either. Lots of high performing people are truly modest, and some feel that they have to pretend to be modest. I don't really understand why you wouldn't accept a Premiere's Award (other than extreme social phobia, like that guy Ahmad described), it's a great achievement which they should be proud of and I daresay not accepting it is something they'll regret later.
Actually, I heard a story, also about another maths guy, who solved one of the millennium puzzles (and I think was going to be awarded with the Fields medal?), he turned both million dollar prizes down. He lives with his mother. Some people are also just plain insane.