Three possibilities come to mind:
Is there an evolutionary purpose?
Does it arise as a consequence of our mental activities, a sort of side effect of our thinking?
Is it given a priori (something we have to think in order to think at all)?
EDIT: Thanks for all the responses! Just one thing I saw come up a few times I’d like to address: a lot of people are asking ‘Why assume this?’ The answer is: it’s purely rhetorical! That said, I’m happy with a well thought-out ‘I dispute the premiss’ answer.
I have heard somewhere that some people seemed to believe that behind each human’s actions, there is some kind of “daemon” that is invisible, but moving the humans like puppets.
This is conceptualized in the theater mask, through which one can speak.
The daemon speaks through the human as a theater actor would speak through a mask. (The latin word for that mask is “persona” (literally “sound-through”) and that’s why we call a person a person today (because they are controlled by a daemon who speaks through them)).
My deamon is now telling you this theory is convoluted and stupid.