All those still need someone to ultimately buy a cow at some point, when everyone knows the value is zero.

Or are the ones holding the cow the last ones that assumed they would be able to still sell a cow?

Even if you think a stock should be worthless, it may make sense to hold it, even if eventually it will become worthless. The sale value may be zero, but as long as people are making shorts, the use value is the fee you can charge for lending them out. (And since it has a use value to make more profit, the sale value isn't exactly zero, but is more related to its use value than anything about the underlying product being securitized.)

Being able to sell it on is one exit from this gamble; but also, simply having accrued more lending fees (over time) than the share cost to acquire. Mostly, it's some combination of the two.