(FORTUNE Magazine) – After the 1986 tax act gutted a bevy of tax shelters, brokerage houses and banks geared up for a rush of affluent customers seeking municipal bonds. Fewer than expected came forward. According to the Public Securities Association, a trade group that represents muni dealers, only 23% of tax returns with adjusted gross incomes of $100,000 to $200,000 showed tax-exempt income in 1989 (the most recent year available). Munis are more popular with millionaires, but 40% nevertheless spurn them despite tax-equivalent yields of more than 9% for people in the 33% bracket. The reason: Many upper-income Americans take greater risks in hopes of higher returns. Surveys by PSI, a Tampa market research firm, show that 71% of households with incomes of $100,000 to $200,000 own stock; nearly half own investment real estate; and more than a third gather collectibles. The first claim on investable cash flow for the very well-heeled is often their own businesses, says Lee Wortham, a vice president at Chemical Bank's private banking group, whose clients have a net worth of at least $10 million. Compared with potential returns on the enterprises that made them rich in the first place, muni yields look slim no matter how you cut them.