Well say you have one theory you reckon has 40% chance of being correct, one theory with a 5% chance, and one theory with a 55% chance. One theory is more likely than any other, but is still almost as likely to be incorrect as not.

Plus "none of the above" is always an option. You could have 3 theories that all have very little supporting evidence - one of those theories could be the most likely of all the actual theories, but "none of the above" could be just as likely if the best theory is still weak.