The simplest answer is that we are not generally great critical thinkers. Most of what we believe is not based on us personally getting a good education on a topic and carefully weighing the evidence for and against an idea. That is extremely rare.
Most of what we believe is based on or influenced by other factors including biases, the people who raise us, our teachers, our peers, the authorities we recognize and what we prefer to be true.
We are simply not experts in almost everything and do not understand our limitations.
If you look at the things that people believe it is easy to see that the vast majority of them are not things that they personally investigate and verify.
We believe in things that are not true because it us our fundamental nature to believe without sufficient evidence and education.
Conspiracies are things we believe in without sufficient evidence because we tend to believe in everything else that way.
There are other factors involving psychology and relationships at play regarding belief in conspiracies in particular but as human beings we don't usually have sufficient grounds to believe the vast majority of things we believe.
Numerous books have described this such as The Knowledge Illusion and Subliminal by Leonard Mlodinow.
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