One theory I've read is that it is part of the human need to find patterns in everything - presumably to make things predictable in evolutionary terms and therefore a bit safer. In the absence of one, as with religion, one is invented. In the absence of suitable explanations for coincidences and oddly connected events people are similarly exercised.
Other theories (sic) tend to lay more emphasis on the psychological makeup of those who believe such nonsense - as here:
https://www.psychologytoday.com/blog/me ... -appealing
A short extract:
"... research has found evidence that certain personality traits such as Machiavellianism, openness to experience, narcissism, and low agreeability seem especially high in conspiracy believers. They also show lower levels of analytical thinking and a tendency to see "patterns" in often unrelated events. But a new research article published in the journal Social Psychology suggests that conspiracy theories may also provide some interesting psychological benefits for people who choose to believe in them.
According to Anthony Lantian of France's Universite Paris Nanterre and his co-authors, people are drawn to conspiracy theories because of an underlying need for uniqueness. In other words, a need to be different from other people by embracing beliefs that are out of the ordinary. Just as this need for uniqueness can cause people to develop unusual hobbies or seek out experiences that set them apart from the crowd, conspiracy believers adopt unusual beliefs about the world that make them feel special or above average. Whether this involves embracing the "truth" behind political assassinations, alien visitors, the misdeeds of government officials, or "secret" scientific discoveries that ordinary people don't know about, embracing conspiracy theories can provide believers with a false sense of confidence over how the world "really" works".