Conspiracy theories as alternative explanations for events and states of affairs enjoy widespread popularity. We test one possible explanation for why people are prone to conspiratorial thinking: We hypothesize that conspiratorial thinking as an explanation for events increases as the probability of those events decreases. In order to test this hypothesis, we have conducted five experiments in which participants were exposed to different information about probabilities of fictional events. The results of all experiments support the hypothesis: The lower the probability of an event, the stronger participants embrace conspiratorial explanations. Conspiratorial thinking, we conclude, potentially represents a cognitive heuristic: A coping mechanism for uncertainty.