It's the propaganda they have been exposed to. They believe what they are told but have a very difficult time walking through any logic that got them there (hint: there isn't any) especially in the face of facts. They will usually deny any facts that do not lead to their conclusion.
Ask a Trump supporter what core American values he upholds and you can almost hear their mind grinding gears.
Because he's a damaged human. That damage allowed him to step all over others to get to where he is, but it doesn't allow him to stop.