Even the most frugal of athletes treat themselves from time to time. Take tennis star Venus Williams, who captured her first Grand Slam title at age 20 and has gone on to rake in a total of $40.8 million in prize money. She's played it safe with her money from day one — her first six-figure paycheck went straight into the bank — but she admits to spending big on one particular item, she tells CNBC Make It: "I love jewelry and so that's definitely my guilty pleasure. I go splurge on that occasionally."

Rob Gronkowski also plays it safe with his millions: The New England Patriots star hasn't even touched his NFL contract money. Instead, he's been living off of his endorsement money since his career started in 2010. While his endorsement deals are lucrative, he's not a big spender, he told Maverick Carter on a new episode of UNINTERRUPTED's "Kneading Dough:" "I'm an easy kind of guy. I can live easy." But after eight seasons of being careful, the Patriots tight end finally splurged on a big-ticket item: a fancy chain. "I love this puppy," he said as he pulled out the diamond necklace to show Carter. "Now I know why people got jewelry. Now I understand why."