Why conspiracy theories?
Humanity is driven by narrative. We tell stories about the world around us. We like those stories to make sense. We like those stories to have understandable reasons for playing out the way they do.
First, a lot of the "stories" that occur in reality make no sense, and have no reasons for why they happen the way they do. People are killed for no reason, good people are punished and bad people rewarded, things happen that don't fit any kind of narrative structure
A conspiracy theory provides a narrative. It replaces the terrifying arationality of blind chance with a more reassuring story in which events are under somebody's control. Even if those "somebodies" are mysterious and hidden figures, that's a better option for many than the idea that things "just happen" sometimes, without any ability to understand or influence them.
Second, sometimes we're presented with events which do line up in an understandable narrative - but it's a narrative that contradicts some other narrative about the world we've accepted as true. How to resolve the contradiction? Discard one of the narratives as false. Either the new narrative shows that we've misunderstood how the world works (discard the old), or the new narrative is viewed as not true (discard the new).
But if you "discard the new", a person still wants a narrative to make sense of the events which the discarded narrative described. One way to do this is to construct yet another narrative - but one in which the events are portrayed as lining up with the old worldview rather than contradicting it. So a bomb in Bali becomes a narrative in which the US is an evil mastermind rather than a narrative in which there are people in the world who slaughter the innocent in Allah's name. On some sites on the web, an ignomiously captured and defeated Saddam Hussein was fit into a narrative in which he was a tool of the US all along as a way of avoiding acceptance of a narrative in which his opposition to the US was a whole lot of empty posturing, with zero ability to back it up in action.
Third, sometimes a narrative has an appeal of elegance to it that makes it seem like it MUST be true. The allegation that the US government knew of the 1942 Pearl Harbour bombing in advance fits this mould: it seems so pat that the event which brought the US into World War 2 may have been allowed to go ahead in order to bring about that exact end-goal. But accepting that as true requires ignoring the role that blind chance plays in life. As said above, sometimes things "just happen" - even things like a punishing military strike which actually had the ultimate effect of aiding the Allies by bringing the US into the war.
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