In sandbox mode you are still achieving something. Take Minecraft creative mode for example - nothing to unlock, everything is unlocked for you, but when you are building something, you are working towards getting that build completed. When you are done and happy with your build, you have achieved something. Zoo Tycoon 2 is another example - not very many people play the challenge mode. The free mode has everything unlocked and unlimited money, yet you still have a goal - you want to build the nicest looking park possible and get that five star rating from your guests.