Simply put, it's mostly because they use lots of fabric. In order to cover both sides of a duvet insert and drape nicely over the sides of the bed, a duvet cover uses about as much fabric as a set of sheets. Add in pillow shams, and you're talking even more. Duvet covers are also typically made with high-quality fabrics for both durability and looks, and they require a more intensive production process, which naturally adds to the final cost.