You know how sometimes you might notice someone's walking the exact same way to work as you, or that the same van has been parked out front of your neighbours every day for a week? Now in reality it's coincidence, maybe your neighbour is clearing out their back garden or whatever.

If you believe that a powerful, clandestine organisation is spying on you and attempting to influence or pressure you in some way, those coincidences are going to start adding up and reinforcing your paranoia.

It's also not helped by the fact we are all being spied on all the time. It's just that mostly it's so Amazon knows what sort of cheap plastic shit to sell you, or your boss is making sure you aren't slacking off beyond an acceptable amount.

Additionally, almost none of us are going to merit anyone from some shady government agency taking a notice but that doesn't mean it doesn't ever happen. All of that reinforces the belief too. Hell I wouldn't be surprised if it doesn't sow the seeds of the belief in the first place in some cases.