Lomborg's claims rest on the assumption that the benefits are small and uncertain. I remember him citing "heat deaths" as one of the worst predicted outcomes of global warming. "Warmists" would certainly disagree that this is the worst thing to expect. I don't know the proper name for this argumentation technique, in my opinion Lomborg creates a kind of strawman, but that is not quite the right word. He says "look here, heat deaths are a non-issue, so global warming is a non-issue", when really heat-deaths are not the main issue of global warming.

You are of course right about rational decision making, but the estimates of the risks diverge between the groups, so they arrive at different decisions.