When it comes to a lot of conspiracy theorists and cults, some people are just contrarian.
When you know something 99% of the masses don't know, you are always the smartest person in the room. That is very validating.
Evolutionary psychology applies. If humans today are doing something that makes sense, chances are their nonsensical behavior today made perfect sense 100,000 years ago.
The mysterious sound in the dark? Is it a hungry tiger or is just the wind? 99.9% of the time it's the wind, but it only has to be a tiger once to kill someone. All the prehistoric people who did the logical thing rather than the emotional thing got eaten or their logical descendants got eaten. The genes for logical reasoning went away. The genes for those who survived were the genes of those who were constantly vigilant against the beasts in the dark.
That's why our prehistoric ancestors were habitually frightened of the unknown. Even before the adoption of agriculture, human technology advanced to the point where humans could avoid or defeat all predators but the fear of the predator in the dark remained. This was the impetus of ancient monster stories. Supernaturally augmented versions of natural predators that their technology could not fight. This instinct to be wary of monsters in the dark is why large number of people that mountains were petrified trolls well into the twentieth century.
At this point science has disproven all the ancient monster stories. We know there aren't vampires, trolls, Medusa, the Manticore and other baddies out in the wilderness but our primitive instinct seek some enemy for us to guard against.
Big shadowy conspiracies are the 21st century version of ancient monster stories. The conspiratorial "They" is the monster just out of sight waiting to get us if we are unwary.
