I would say the same about voting for a major party. In not a single election would your vote have changed the outcome, ever. So why do it?
Moreover, if we just look at the significance of your vote, you are a larger percentage of the vote when voting for a third party than when voting for a primary party. Something on the order of 50x **more** impactful when voting for a third party than a primary party in percentage of the vote you account for.
Moreover while not winning or winning for a primary has little effect from your vote, with a third party even loosing has a positive outcome. By swinging the % higher (which you do wtih 50x more effect) you are sending a message even when you loose by raising the % enabling third-party more likely access, exposure, and chance to win in the future.