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.
The most accurate answer is: We don’t know.
But there are pieces of scientific evidence that suggest our sense of free will is just another perception process that happens in our brains. Specifically I’m thinking about people who have problems in their brain that make them feel like they AREN’T the one controlling what they do. For example people suffering from derealization - https://www.mayoclinic.org/diseases-conditions/depersonalization-derealization-disorder/symptoms-causes/syc-20352911
EDIT
As to why our brains have a process that gives us a perception of free will, that’s a much harder question that i think science currently only has conjecture on. If i had to guess I’d guess that either there’s an evolutionary advantage to it, or it’s an emergent property that arises from all the parts of the brain being connected in the way they are