I personally suspect (note-not 'believe') that many conspiracy theories are glommed onto because they are just more interesting than the truth.
Then... there are folks who believe almost anything that suggests 'they'... the government, the aliens, the Commies, the [insert racial/ethnic/religious group], the media...etc... are out to control everything.
(Then of course, there are those who write books 'exposing' secrets and milk the theory for years.)

I can understand the concern over some events and the possibility that some important facts are hidden, but I cannot easily understand why folks refuse to accept clear and reasonable explanations from experts and seem to prefer wild 'what-ifs' from armchair guessers. MY 'theory' is that some people just ...like?... to analyze and gossip about it all, and it keeps them busy & interested.

(trying to think of any famous conspiracy theories that were borne out... I suppose there must be a couple)