If they don't vote strategically then they give the advantage to their opponents. The alternative is to take votes away from a party that doesn't quite align with you but could win and give them instead to a party that can't win, resulting in an increased chance of the party that doesn't align with you at all winning.
It's a question of whether you want to win somewhat or lose completely. Democracy is compromise; you're never going to find a candidate that perfectly aligns with your interests.
If you insist that you will only vote for a niche third-party candidate under a system like America's, then you've taken yourself out of the effective voting pool. Now neither of the two candidates who has a chance of winning needs to care about your interests at all.
When you use the opportunity you have to cast a vote that could actually make a difference. Instead you're standing on the sidelines doing nothing except signal your virtue.