Honestly I think that this isn't in inherent to the modern world, in earlier ages it "they" was probably attributed to gods and what not. "Why does lightning spark fires in the fields": "They (the Gods) are probably angry at our insolence". Fast forward to the present where religion and the supernatural have less hold on human thinking and that type of idea is shifted to a nameless, faceless "they", orchestrating and manipulating events in secret.
For a fun look at this occurrence, read James Tynion's fantastic Department of Truth comic that deals with the truth and popular American conspiracy theories.