For me, it was shockingly telling how the WTA "handled" Margaret Court's despicable post-AO comments. The outcry was very limited and the WTA didn't even bother to solidarize with their players even though Court's comments were spitting in the face of some of tennis' most accomplished players.
That showed me how afraid they are about the whole topic, it has become a big taboo, maybe bigger than it has ever been - Which is ironic and sad given that society has become much more accepting and open-minded, just the sport has going backwards in that regard.
It's true that it's most likely the sponsors applying this kind of pressure. However, I think a player who is out would find herself able to score some interesting endorsement deals that aren't available to others. I know from first-hand experience in the automotive industry that companies are actually pretty desperate to reach the gay demographic as homosexuals in average are higher educated and have more disposable income than the general public in a specific age group, making them a very interesting demographic for advertising.
Most companies fail to appeal to them though. In the automotive world, Subaru is still the most popular brand among gay people. Why Subaru of all companies? Part of the reason is that they ran a very successful advertising campaign with Martina Navratilova a few years back. So while the general consensus seems to be that coming out will significally hurt your career, I could imagine that It could actually boost a player's career (in terms of endorsements etc.) simply because there is a big void to be filled.
I totally agree with you, both about the non-reaction to Court's tirade and about endorsement deals. I would also imagine that whilst the player would lose some fans and get abuse from them, they would probably actually gain more fans from within the gay and lesbian community and given the dire need for role models I suspect they'd be more numerous and a damn site more loyal and respectful than those that jump ship. The trouble is that when you have it drilled into you constantly, from people who are supposed to look after your interests, that you will lose fans, current sponsorship and damage future deals etc. no matter how strong you are it's hard not to start believing what they say. Also, once an athlete has signed a contract with a company they have to fulfill the companies wishes. If the athlete does not have the right team around them and deals with the right type of companies it's so easy to sign themselves into some unpleasant situations.
I also wonder how the nationalities of the players affects the decision to stay closeted. Many are from places that are known to treat gays and family of gays badly. Being out and in the public eye could also raise the risk of mistreatment of family members still there. For example, my heritage is Polish-Serb and, whilst I have lived in England for much of my life, I still have family living in those countries and I don't think I'd risk being out if I was a public figure.
Personally, I think these ladies come under great pressure from so many places, such as companies, the wta, their management, and probably within themselves, that it's not surprising none are out.