I believe that it boils down to the need to feel some control. Conspiracy theorists believe that there is some nefarious force out there over which they have no control and that could harm them. There is some element in their lives in which they do not feel in control, and this feeling is mitigated to some extent by creating or believing some elaborate explanation. It’s like, “No wonder I don’t feel in control, there’s this sinister power out there that is operating behind the scenes.”

The difference between this belief and a mentally ill person is that the mentally ill person believes that the sinister force is actively engaged directly with them. It’s not “out there” but screwing with them on a regular basis.