I think it has very little to do with consumers being in denial and everything to do with the serious nature of many of the illnesses for which the drugs are taken. It comes down to a balance of risk vs. reward.
For example, there is no doubt that many chemotherapeutic agents have serious side-effects. However, when faced with the possibility of side-effects vs. the inevitability of cancer-related death, a consumer must make the logical decision to accept the risk of possible drug-related side effects to try to beat his or her disease.
The same type positive and negative balance goes for most serious health conditions. Patients with heart disease are almost certainly better off taking beta blockers, even though there is a chance of adverse effects.
With that being said, the best way to try to avoid the risk of side-effects is to lead a healthy lifestyle with a balanced diet, exercise, and plenty of sleep. By taking a proactive role in one's own health, individuals may be able to minimize risk factors for diseases which necessitate serious medications.
Not all diseases are preventable, though, and even the healthiest of individuals can be afflicted by serious illness. To suggest that these individuals are in denial for choosing to treat their illness with pharmaceuticals is a bit unfair, in my opinion.