For instance, the well-known Rennes le Chateau mystery surrounds the sudden appearance of great wealth to a rural parish priest, Sauniere. Historical records show that he 'sold' masses to wealthy clients who wanted to 'buy' their way into heaven. It is a simple, plausible solution to the mystery based on documentation. However, many people dismiss this solution and seem keen to maintain the mystery, hinting darkly at more fantastic explanations (buried treasure, Templars, etc.).
It's certainly true that when you get to the end of a mystery novel, the final solution is almost always a let down but you have to accept it because that is what the author wrote. In real life we don't have to accept the 'official solution', however plausible, and can continue to muse. But why do we prefer a mystery to a solution?