The Pareto distribution (and indeed other heavy-tailed distributions) come out of self-reinforcing processes, where each additional amount of something increase

The Pareto distribution (and indeed other heavy-tailed distributions) come out of self-reinforcing processes, where each additional amount of something increases the probability of even more of that thing. (This is what it means for a distribution tail to be subexponential.) In our capitalist system, wealth begets more wealth, thus heavy tails.