Now, I’m just some dumb asshole with a computer, just like you, and I hope it would be obvious that each believer will have their own special snowflake configuration of reasons and circumstance. But based on my experience and observation, it mostly seems to come down to three things:

1. Conspiracy theories are attractive because they make sense out of a world far too complex for most, possibly all, humans to fully or even usefully comprehend. There are too many actors, too many agendas, too many forces at work at every level of action and perception. By positing a force both nebulous and powerful enough to steer the course of world events, the believer obtains a frame through which everything can be made to make sense.
2. Once they’ve bought in, it’s extremely difficult, even impossible, for most people to admit they made a mistake. Especially, in my experience, people who see the world through a hierarchical lens, with themselves at or near the top of said hierarchy. Their privilege, in this view, stems from their virtue. Admitting error tarnishes that virtue, endangering the privilege and making the hierarchy wobble. Nobody likes when their worldview starts showing cracks in the facade, much less the foundation.
3. Last — and in this case, I fear, most compelling — by projecting such evil debasement onto their adversaries, believers in QAnon and other similar conspiracies not only validate the visceral hate they have cultivated and been encouraged to cultivate by their leaders for those adversaries, they liberate themselves to act on that hate, without quarter, hesitation, or mercy, even making it, in their eyes, a positive moral duty to give in to the violent and/or oppressive impulses that so often follow such visceral hatred.

That’s my two cents. Your mileage may vary.