The reason is simple: They get to live on Cloud Coo-coo Land, where thinking something could be true means it must be true.
Take the "Obama-is-not-really-president-because-he-was born-in-Kenya" crowd—Birthers, for short.
Nothing and nobody can convince them that they might be wrong. So they keep wasting their time (not to mention the Federal court's time) with speculation and rumor.
Read more at TPM.