it's called being realistic.
You are asking, why do fans of other players don't have the same confidence as Venus and Serena fans?
Anyone has to admit Serena is the best player, obviously IF Serena was my favourite I would be very confident in any tournament she played.
My first favourite is Justine and I have a lot of confidence in her, I know she can beat anyone but I also know that most of the times she faces Venus or Serena on hardcourts or grass she is likely to lose, that's not lack of confidence, it's common sense, thinking otherwise would be living in a fantasy world.
I have other favourites, my most recent addition is Lina Krasnoroutskaya (and not because she beat Clijsters but because I like her game and also, I met her in practices and she is the sweetest girl in the tour), what would I expect of Lina? she is young, has potential but still needs to work in many things, would I hope her to win every time? yes, would I expect it? no, at least not for now.
Barbara Schett, everyone knows she isn't having good results, I believe she can do a lot better than she's been doing and that she is better than many players ranked above her, but in her current form I am just happy when she wins matches, would I expect her to win the US Open to show the "same confidence in my favourites as Williams fans"?
I am sure many fans have chosen their favourites for reasons other than their tennis (looks, personality, nationality, race, sexual orientation or whatever), if you like a player let's say because she is beautiful, does it mean that automatically she becomes the best player in the world? How can you be confident in your favourite doing something she isn't capable of?
In the case of Justine, clearly the best player among my favourites, the confidence has been growing in me while she's been showing results. Before San Diego I thought her chances of winning the US Open were nearly zero, and I was being realistic, not less of a fan, just a fan with his feet on the ground. AFTER she won San Diego, and with Serena out and Venus dubious then I started to REALISTICALLY have confidence in her chances, and still, despite her recent results, I know (again, not lack of confidence, just common sense) that she can lose to Clijsters, or Mauresmo, or Davenport, or Capriati or even someone else.
Unless you consider that to be a fan you have to lose all traces of rationality and just blindly believe that your favourite is perfect