For many, it's not so much that they won't willingly let go - it's that they almost can't. Once a conspiracy theory has festered for awhile, it generates a life of its own. The people who believe in it have invested emotion, time and energy into the thing and have, over time, made it an integral part of explaining all sorts of other things happening in their world. Taking away their conspiracy theory is just too hard for them to deal with. People that can't let go will continue building a web of intrigue around their conspiracy so that no matter what evidence is presented will never be good enough to convince them they've wrong all along.
A very good summary of theorists no matter the issue. Thank you.