YANBU I felt the same - when I moved back to the UK and moved into my huse I had to buy all new furniture but the headboards were almost as expensive as the divan bed, so I thought I'd manage without one for a while till I could find something cheaper ... after a month of losing pillows almost every night, I went to our local British Heart Foundation Home store, they happened to be having a sale and there was a lovely wooden double headboard for only £10.
It was stained a really dark colour but I was desperate for anything at that point. I brought it home and put it on the bed and it worked fine, but looked ugly as it clashed with my other bedroom furniture, so when I had a free weekend I sanded it down, restained it in a complementary colour to my bedroom, added some fairylights twisted around it and you'd never know it was the same piece of furniture and it now looks identical to one that was in a high street furniture retailer for £90!
So I would suggest checking out your local charity/secondhand furniture shops and be openminded about what's available. It might be ugly in the shop but for the price of a little time and a coat of paint it can be totally transformed into whatever you want it to be.