Of course it makes sense. Trading options takes something people don't want (a particular exposure to a particular set of cash flows) and turns it into something they do want (a different kind of exposure to a different set of cash flows). If people they were indifferent to sets of cash flows, markets wouldn't work.
Here is one incredibly obvious way that you're wrong: if you ran an airline, you might be worried that a sudden spike in fuel prices would bankrupt you. They could use futures to speculate that prices would go up, so they'd be indifferent to price changes -- an increase of $X in fuel costs would give them an increase of $X in futures profits. Suddenly, they are a more stable company -- people are more willing to work for them, banks are willing to lend them more money, passengers are more likely to participate in frequent flier programs, airports would be more likely to consider them for long-term spots, etc. Somehow, everyone on that side of the transaction benefits. And lo! The speculator on the other side, betting that prices will go down, is able to do so directly, rather than by indirect means such as buying stock in an unhedged airline and exposing himself to the vagaries of that industry. Even if he loses money in the end, he has what he wants when he makes the trade. However, I needn't restrict myself even to people making business decisions through the futures markets: even a compulsive gambler trading pork bellies is not a compulsive gambler getting drunk at casinos or playing illicit card games. In short, it's a very sanitary sort of gambling (this was not always the case -- in the 1920's, traders at the then-outdoor American Stock Exchange drank constantly to keep warm. This explains a lot).
It is trivial to declare that some business is zero-sum or negative sum. Even retail is a series of zero-sum transactions: I had $5 and the restaurant had a burger, now I have $5 worth of burger and the restaurant has $5 worth of cash. Even, minus time and taxes. And yet, for the most part, our bias is to quite correctly assume that when people voluntarily hand over billions of dollars, some of them becoming poorer and some of them become quite richer in the process, they may be doing something rational. The fact that rich countries develop stock exchanges, and that the development of stock exchanges correlates with future wealth, is not a coincidence.