First, being part of a larger whole may have material advantages that are not directly related to money or security. A good example is free travel between countries.
The second point is that people actually believe in their morals. That is not to say that all "moral" arguments are made in good faith - sometimes they are thinly veiled economic (or else) arguments. But people generally believe in their morals. If I - for instance - believe that people are endowed by their Creator of inalienable rights, I may favor institutions that support such rights, and the EU may be more effective at that that nation states. If I believe that all Europeans are brothers and should decide their fate together, I will favor a strong EU. I wager that the reasons most Americans believe that the US should not be split in different regions has very little to do with how much more or less money they would make if the US was to be divided. Don't quite recall Lincoln's speech on the GDP implications of the South secession. Morals matter.
Finally, not everything is zero sum. It is possible that everyone wins from the recovery fund, or that benefits for those that benefit are greater than the losses from those who lose.