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.
There are many thing my body does which I’m aware of, but that I don’t will, and others that I have some control over, i.e., my will appears to play a role, but not the only role.
I don’t think it creates any kind of contradiction to suggest that, hypothetically, there could be more (or less) of either of those types of things, without my perceiving an invisible (external) force of some kind to be involved. After all, I don’t ascribe my heartbeat to an external force, but I am aware that I don’t will it.
No, but you have the ability to sense your heartbeat, so you can tell that it’s there.
You don’t have the ability to sense electromagnetic emissions in the X-ray frequency range, so you can’t tell that they’re there. You wouldn’t know if X-rays of a given intensity were present at a given moment. It’s like asking “why is there the illusion that there are no X-rays” when you wouldn’t expect to feel differently regardless of their presence or non-presence.