Some people don't have a very accurate idea of what jiu-jitsu is all about. We've had people come in thinking they were going to learn how to ground & pound. A lot of people I talk to still don't know that jiu-jitsu is a grappling art, because of how frequently the term was used as a generic synonym for martial arts in popular culture.
Then the way we train catches a lot of folks off guard. I've always said, if you think you're in great shape, visit any type of fighting gym and they'll probably prove you wrong. We've lost people before the end of their first warm-up.
That first open roll is a pretty big ego check as well. Big guys and little guys alike have left frustrated. Especially when a little guy schools you on day one (even going super easy on them) it can be demoralizing.
I try to work with the new students in our beginner class, because I'm normally one of the senior belts in that class other than the instructor. I point out how long I've been doing BJJ and how often I train. I ask about their experience with grappling, and go over basic positions if needed. Most of all, I try to encourage them even though they're making a lot of mistakes and getting tapped...after all, that's a part of the learning process.