Here is an article (via MindHacks) profiling the types of people who are attracted to conspiracy theories.

It is the domain of psychology to study the specific conspiracy theories that appear and the people who advocate them, but to a game theorist the prevalence of conspiracy theories is not surprising.  They fill a credibility gap.  Like nature, the truth abhors a vacuum.  It cannot be an equilibrium that only the truth is told and retold.  Because then we would learn to believe everything we hear.  That would be exploited by people trying to take advantage.

Conspiracy theories are just one example of noise that must be present in equilibrium to ensure that we don’t believe everything we hear.  And arguably conspiracy theories about events that have already happened or are beyond our control are the cost-minimizing way of moderating credibility.  Nobody really gets harmed.