I highly recommend everyone who wonders why people do this to read the 'Conspiracy Theory Handbook'. Unlike what the title suggests, it is a very brief primer into the psychological research done by Cook and others on conspiracy thinking, mostly from the perspective of climate science denial: https://www.climatechangecommunication.org/handbook/the-cons...

One of the key traits of conspiracy thinking is immunity-to-evidence:

"Conspiracy theories are inherently self-healing, evidence that counters a theory is re-interpreted as originating from the conspiracy. This reflects the belief that the stronger the evidence against a conspiracy (e.g., the FBI exonerating a politician from allegations of misusing a personal email server), the more the conspirators must want people to believe their version of events (e.g., the FBI was part of the conspiracy to protect that politician)"