Conspiratorial thinking happens when people feel like they are not getting honest answers. The media feeds this when it fails to ask the right questions.
That's probably one way conspiracy theories happen. They also happen because it's been an evolutionary advantage to look for patterns and reasons even though sometimes there are none. Creating or subscribing to a conspiracy theory also can create a sense of belonging for an individual within a smaller group that subscribers to the theory that they'd never get in the main stream. There is a great documentary about the flat earth society that drives that point home well.
They also happen because when people are deeply committed to being “in-the-know” at the expense of sounding rational, it’s a fairly cheap way to feel like you know something that the sheeple don’t ;)
