Huh, I stand corrected about the NFL itself being taxed. My apologies. It's not the double dip I thought it was. That said, the individuals involved still pay their income taxes, and then sales tax on merchandise, revenue going through advertising and the sales that end up trickling out of the advertising. The economic boom that hits the region where it's held is quite big, too. Simply put huge sporting events are lucrative for the government, great for citizen morale by being fun in general(even if a fair chunk of the population doesn't care, it's huge for the fans). That makes them both a great terrorist target, and an enormous clusterfucking mess to reschedule/cancel, which other posters have stated pretty plainly counts as a victory for the terror organization.
It was the reason we still ran all the big awards ceremonies after 9/11. Some celebs wouldn't go, because of concern of another attack, but it was a major thing to prove that terrorism can't be allowed to look like it works. Fear of a terrorist attack cannot disrupt life as it goes, because then terror attacks will become more common.