Because some people never want to come off as desperate or "easy". They want to give the impression that (1) they are confident in their own attractiveness, and (2) they are worth the effort it takes to win their affections.
It also keeps their suitors guessing, and this continued perplexity ensures that the hard-to-get person will become the focus of his or her suitors, and thus further ensure both attention and affirmation.
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The mere fact that science may not yet adequately explain an object, event, or experience does not mean the immediate explanation should automatically default to a conspiratorial, extraterrestrial, paranormal, or supernatural cause.