Even if they're expecting an overall loss, they may hope the court will respond favorably to certain aspects of their argument, creating precedent that will be beneficial to them in the long run. It's hard to speculate about this without knowing what the argument will be, of course.
I've been dipping in and out of this thread, so I don't know if we've discussed
the lawsuit over the Harry Potter Lexicon, which has some interesting parallels to Axanar: fan project that was tolerated until it crossed a line, big corporation vs. small but mouthy enterprise. The Lexicon's publisher was represented against Warner Bros. by the Fair Use Project, a group of lawyers dedicated to clarifying and extending fair use. The Lexicon had a somewhat better case than Axanar, but I still doubt the Project expected a win; I would guess that they anticipated what they got, which was a decision against the Lexicon but affirming that as a general matter reference guides are allowed under fair use.