No, they would also advertise the descending nature of it, so if they book a big enough venue, there won't be that much demand at $4000 to sell it out. So the price will descend down to more affordable levels.
Of course if the biggest venue isn't big enough to do that, then that's more of a problem of the local facilities, or the artist's decision to play in an area with inadequately sized venues.
I don't think "avoid playing in places without mega-venues, because otherwise our self-choosen pricing policy will make us look bad" is a particularly clever approach. (not to mention that doing so will drive up the price for events in places with such mega-venues)
People accept the logic that smaller facilities = more restricted capacity = higher prices in pretty much every other context.
A Ferrari dealership has to turn away the vast majority of folks who want to test drive their cars, a B&B, or boutique hotel has to turn away customers, or price rooms very highly, on a busy weekend, etc.
Of course if the biggest venue isn't big enough to do that, then that's more of a problem of the local facilities, or the artist's decision to play in an area with inadequately sized venues.