CC image from ian_ransley on Flickr.
In the NFL, teams can trade players, cash, and draft picks. The value of future draft picks depends on many things (more on this later), but these picks unambiguously have positive value.
Because of this, is no NFL player untouchable, as his value can be exchanged for draft picks? For instance, say that we could compute a value of 100 points (on some scale) for Peyton Manning. In theory, a team could send 100 points worth of draft picks (maybe that's two picks next year, or maybe that's three years' worth of picks) to the Colts in exchange for Manning, and both sides would be happy.
The value of a draft pick many years down the road has a wide variance. The trading team's record the year before (which determines its draft position), the receiving team's needs, and the overall strength of the draft class are all unknown. Additionally, draft picks in the far future are worth less than draft picks today, because of greater uncertainties and the pressure to succeed today. But presumably teams could discount the value of future picks accordingly and be able to trade gobs of picks for today's star players.
Perhaps star players usually stay put because of the endowment effect. In other words, people put higher value on things they already have. A good example is something like tickets to a big game. If you already have the tickets, it might take $200 for you to part with them, but if you don't have tickets, you might only be willing to pay $100 to purchase them. Your valuation of the tickets is inconsistent, as it depends on whether you already have them. In this case, perhaps the Colts value Manning at 200 points while the rest of the league only values him at 100 points.
Additionally, general managers have an incentive to win now. Maybe it would be smart to trade Manning for three years' worth of picks, but the Colts would immediately suffer in the short term, and the GM might be fired long before the team sees the value of these future picks come to fruition.