I think it’s because they know something is wrong & they’re looking for an explanation as to why it could be anything but mental illness.
My son has been through phases where he thought people could read his minds.
For him, the theme was mind reading, time travel, government agents, doctors with ulterior motives, people spying on him or listening to him through electronics - all James Bond type stuff.
He’s moved on though, so he now feels more in control. Now, he has psychic and telepathic abilities and “sometimes” other people can see or hear what he’s does, or he can hear & see what they’re seeing. And, he can predict the future.
But, since it doesn’t happen all the time, he says it comes & goes.
Just last night he said he was willing to go back to the mental hospital for a few weeks just so he could strengthen his psychic abilities. He doesn’t need to go - he just associates that time with when he was very strongly psychic.
At least he’s not upset about it right now. He thoroughly enjoys the whole idea, so I just go with it even though I tell him I don’t understand it and I don’t want those powers.
We had a whole discussion about what super power I’d pick - and I think we settled on invisible, although I told him I wasn’t sure how that would work. I certainly didn’t want to be naked to be invisible, and how would the power to be invisible make my clothes go invisible? He said maybe I needed an invisibility cloak. So, then I asked him if only the things it covered would be invisible - like if I peeped out would people see my eyes floating around? He just laughed and said I had a question for everything.
Actually, if I had to pick a super power, it would be the “do what I say” power - that’s the best one I think.