People have different bubbles of beliefs; bubbles of society sharing and echoing back those beliefs, and everyone thinks theirs is the truth and the others aren't. Of course I (and you) think our bubbles of belief are more based on facts and nearer to the truth than most, but then so does everyone else.

It's curious though. The word "theory" on its own doesn't have bad connotations, and "conspiracy theory" is simply a theory about there being a conspiracy. Conspiracies themselves certainly happen and have happened. But "conspiracy theorist" certainly has taken on unpleasant connotations.