There's a better question here:
Why not?
Its not like people are dedicating their lives to this, but it does make for an interesting pastime if you have nothing else to do. Kinda like a puzzle. Its like a personal Zelda puzzle for us to complete rather than directing Link around dungeons and boxes and platforms with 50 items. Which, for the record, is
also a pointless endeavour so why get on us for
this one?
Even if there was no answer, its nice to think there is sometimes. If you're creative, you can piece parts together, to get a story that somewhere in the back of your head you want to follow on from, however you choose to do so. If you're not so creative, just the personal satisfaction of finding an answer that works in your head is pretty nice too.
And I have to ask: Why did you decide to come in here and ask theorists why they bother? I don't quite understand why people do that, since its not like there's no answer, or like people who don't think on it will be satisfied
with the answer (or aren't usually), and its not gonna stop anyone making theories about where the games fit in, whatever sense or point there is to it. Is it really that important to have us question ourselves and our motivations?