Suppose you had half a billion dollars or whatever. You could get it in cash. You can't put that under a pillow. You'd need a really secure vault to guard this cash against theft and accidental destruction (fire, flood). In the best case, nothing happens to the money, so it retains its full numeric value, but that vault costs money to rent and operate, and those costs add up to negative yield. That effective negative yield of the vault could be more negative than the negative bond, making the bond more attractive. The negative bond could be more attractive even if it costs more than the vault, because of lower risk.