It’s because they find evidence to support their truth, instead of formulating a theory based in the evidence. I’ve heard it described with the circle analogy.

Imagine the absolute truth is a circle, but we don’t know what the shape is. By doing research, we find out certain facts as points on that circle. We can then draw straight lines between those points, and draw a shape that’s as close to the absolute truth as we can get, with the data we have. Further research and discoveries place more dots, sometimes falling outside of the lines we’ve drawn. So we redraw the shape more and more, always increasing towards that circle. That’s how science works.

Conspiracy theorist do the opposite. They draw a random shape (that’s nowhere near a circle, like a star), and then go out to find proof that fits on that shape. Some proof is correct - it just happens to fall on the same lines as the circle. Others are completely out there, aligning with their shape, but not with the circle (because it’s not relevant to the truth). And if they do find proof that fits on the circle, but not on their star, it’s ignored.