The idea of the frontier was opportunity, the chance to pursue the American Dream of taking your own land, finding your own fortune, being a master of your own fate. It was for this reason why millions of people from Europe immigrated to the US in the 19th century.
Upon arriving on the frontier they often found a different reality. The land might have already been gone, or living on that land with little or no money or supplies. They probably did not strike it rich in a gold mine. In this way, the reality of the frontier was very different from the idea of it. The promise it offered was more attractive than the frontier itself.