There is a conspiracy theory on pretty much every subject, some are just more elaborate than others. The arrival of conspiracy theories is an example of:
One cannot dismiss that people are capable of type I and type II error, and even more so, that it is systemically being committed in all levels of society, with confidence, arrogance, and ignorance.
But since anecdotal evidence is unrepeatable, one cannot exclude a possibility that the observer is flawed, and that has a potential to be scientifically proven, or already has been.
You are right that the belief in alien conspiracies doesn't happen spontaneously, rather it is formed by being strongly influenced by other people who already do believe, and by being exposed to the subject, like from countless TV shows on the Discovery channel, TLC, and History channel that air alien conspiracies every week. It is the exposure to the ideas that captures the imagination of the masses, who otherwise would have never thought about ETs like that. Two hundred years ago or more you could been accused of being possessed by demons, if you talked about aliens. But now from 19th to 21th century this topic has become acceptable, it is OK to talk about aliens.
Also factor in concepts about social norms and memes and all of a sudden there is more psychology in this matter than there is any aliens conjured up in the past 100 years.
One cannot discount the evolution of one's mind from childhood to adulthood, there are clues. and, wouldn't you agree that many adults behave like children anyways?