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.
If you throw a pair of dice, do they still have to roll if their final positions are predetermined from the point that you let go?
One view is that even a deterministic mind still must execute. An illusion of the capacity to choose between multiple options might be necessary to considering those options which leads to the unavoidable conclusion.
Dice do not choose where they roll.
They also do not pretend choosing, or tell themselves any bullshit…