They don't pay taxes, because foolish citizens and even more foolish politicians have decided to use tax payer money to subsidize professional sports teams. You see, Mike Piazza doesn't care who he plays for. You are a fan. You want your team to win. You are loyal to your team even if they lose.
Loyalty is a good quality.
Baseball players have the loyalty of rats. But the New York Mets didn't have enough money for Mike Piazza. Well, they can cut other expenses, like those horrific stadium costs. From property taxes. But the tax payer would think that is a dumb idea.