Well, first you shouldn't distinguish too hard between ancient and modern peoples. You can quite clearly see a decent amount of conquest and pillaging going on these days. Is it less than before? Definitely, but people are still plenty "okay with it".

As for why people are okay with it to begin with?

It is rare that someone goes in to raid and pillage and just destroys things - they will almost always steal things - gold, food, resources, slaves, etc. I'd find it very unlikely that a town would be raided by men risking their lives only for them to walk off with nothing after a success.

You must also look at the way military culture operated in the past. Nowadays, as a grunt in the US army you can singlehandedly destroy the leadership cadre of an enemy terrorist group and end up with maybe a shiny medal and a promotion - which is to say "not much."

In ancient times, you could gain a lifetime's wealth in a single battle or raid! Think of capturing and ransoming an enemy aristocrat. Think of hauling off as much loot as you can physically carry! Think of what your family could do with a whole train of stolen well-bred horses or a herd of cattle! These things could change your life for the better, sometimes even your whole family's for generations! The prospect of advancement and loot was a huge motivator in ancient military conquests, as for much of history there were not many standing armies that fought for things like 'patriotism' or 'citizenship'. They were often made up of societal elites fighting to advance/protect their position and hungry hopefuls hoping to make something better of themselves.

Ancient people also had a closer relationship to death than modern people - you are largely sheltered from it in every way. The meat you eat is packaged attractively and killed far away from you, and even your relatives are most likely to die in a hospital bed and then given to a mortician to make a presentable corpse for any public viewing.

Death was much more 'in your face' in ancient times, and you were likely to witness the deaths of close family members. It was also seen as less of a 'big deal' for some people to die in an enemy raid when several hundred keeled over last month from plague and are currently rotting in a pit.

Lastly, as for "leaving without taking anything" there is the concept of a punitive strike. Some people would find it necessary to destroy an enemy before they got too powerful. Even in this case I find it unlikely that they wouldn't find something at all to steal from the enemy. Without modern supply systems ancient armies survived primarily by looting the countryside - it is incredibly unlikely that they would loot their way to a city, attack it, and then leave without taking valuables with them.