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.
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.