Well, in a nutshell, what can make some knives cost thousands of dollars are things like:
Materials used, they can be rare, expensive things like high-end fossil ivory(mammoth or Walrus), jade, high-end stag and pearl are costly, then if the knife has gold embellishment and/or engraving, that can add a lot to the value, a top engraver like Julie Warenski might charge well over $1,000 to engrave a single knife.
Then you have knives that have complex designs with multiple, difficult to make components, which require a lot more time/effort to build, more time/effort equals more cost.
Then you have the maker's name and reputation, and how rare and sought after his knives are, the price of a knife can often be driven by scarcity. If people go crazy for a particular maker's work and he makes very few knives, supply and demand set the price (high). Generally, with a great name, you get excellent quality, though I'd say there are a few exceptions, where the high price is based not so much on the maker's quality, but the maker himself, Loveless comes to mind, his knives are nice, but there are guys who make better knives for less money, but Loveless is the original, an icon, his contributions to the knife world and icon status keep his knives priced high and very sought after.
Often, it is a combination of the above things. And generally, when it comes to high-end custom knives, you get what you pay for, most of the highly regarded makers who's knives cost a lot, are so well thought of for a good reason, one which should be apparent to you once you see, hold and play with one of their knives in person, the quality of the (rare) materials, the fit and finish, and the precision with which they are made can be a real eye opener, if you are the type of person who appreciates these sorts of things.
One thing I will say however is, don't expect that because a handmade knife costs $3,000, that it will perform better than a $100 production knife, it's not about sheer performance when you're talking about high-end custom knives, it's more about fine art, precision, and rare, precious materials, if you appreciate that stuff, you will probably like these types of knives and not feel your money has been wasted, if performance is all you are interested in, you don't need to spend thousands on a knife, there are plenty of $100 knives that will outperform most of the expensive, so called: "Art Knives", like I said, when it comes to the very expensive knives that cost thousands of dollars, it's more about art, collectability, and fine things, than performance.