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.
A better question is, is there any difference between the illusion of free will and actual free will. Is there some experiment you could conduct to tell the difference?
If it’s the illusion of free will then whoever constructed it most likely made sure we wouldn’t have access to those kinds of experiments, or we wouldn’t think of or choose to do them.
