I have mentioned this before and I may come back to it again -it really baffles me so I have to think about how it works.
One of the elements in this may be ... that we all need explanations and reassurances, thrown in a world that can be supremely hostile at times, so we invent narratives in which it all has a sense and a purpose; there is a hidden hand (good or evil) making it all work the way it does. So we create god, alien abductions and secret government conspiracies. This way the world makes sense. If it is god, well, we are in his (why not her?) hands and all will be well. If it is an evil conspiracy, it can be thwarted and things made better. Hm, not sure about the last bit but I feel some of how it works may be along those lines.