They do set up off-exchange venues. Any of the block trade matching services, for example. There are also sources of liquidity that require non-trivial amounts

They do set up off-exchange venues. Any of the block trade matching services, for example. There are also sources of liquidity that require non-trivial amounts of capital to access like dark pools. Regardless, each of these venues provide additional service that compensates for their reduced liquidity. Posit, for example, helps you match large, anonymous block trades at prices that might be inferior to the NBBO, but only inferior within limits. The benefits to you, the user of posit, are clear. Get very large orders crossed with some bounded market impact. For this, you're happy to pay the price.