The obvious answer would be that some people take it too seriously, but I'm not sure if that's always the answer.
A lot of people, anyone belonging to a taboo culture or minority in particular, witness everyday in the news, the internet, or in person some of the worsts of humanity. Eventually, someone could see themselves as so different than the horrible people they've seen that they deny that they could be a species that treats its own kind so cruelly. And as we all know, animals don't judge based on philosophy and sexuality. So, is it surprising that someone might want to pretend that they're that unjudgmental, simple, yet complex creature that they admire?
Of course, some furs may just like dressing up in the way that people might dress up for Halloween: just for fun or, might I dare, lulz. However, I personally believe that there may be this subconscious desire to be something else so desperately.