Conspiracy theories, as well as most religions, are really popular. One might even say that they are addictive. People get "hooked" on them, and have hard time letting go of them once they have embraced them, no matter how much evidence is presented to them of the contrary.
There is, in fact, some evidence that this is not a purely psychological phenomenon, but also in part physiological. That means that it can have an effect that changes body chemistry.
If something is new and exciting, exhilarating, and extremely interesting, if something "blows your mind" as they say, that sensation may in fact be caused in part because of a rush of body chemistry. The brain may cause adrenaline, dopamine and serotonin to be produced in certain psychologically significant situations, such as hearing something that's very exciting and interesting. Some people literally get a "high" in these situations; not just metaphorically or even psychologically, but literally physiologically, with actual body chemistry being at play.
Many of these people get psychologically addicted, "hooked", to that new and exciting information, that new way of looking at the world. They experience an "awakening". They get a feeling like their horizons have been expanded. They may associate that feeling of euphoria with that knowledge. And they want more of it, which is why they so passionately seek more of the same.
Telling others about it also gives them that sensation of excitement and euphoria, which is why they are so eager to preach.
And of course when you are extremely passionate about something, you usually don't want to even consider having been wrong, that it has all been an illusion and a lie. Just a fantasy. The thought is unbearable.