a) things they care about
b) things they are cognitively capable of understanding to be false, and
c) things they can plausibly falsify for themselves by obtaining the relevant information.
So an octopus can have all sorts of misconceptions: indifferently making false assumptions about a cave they aren’t going to explore themselves; bizarre pseudo-magical explanations about human technology far beyond their understanding; incorrect guesses as to another octopus’s mental state. But what makes a conspiracy theory more than a mere misconception is the effort spent reinforcing the falsehood, using tools and methodologies which reflect a theoretical capability to understand why the conspiracy theory must be false[1]. (In particular the problem of people who cynically spread conspiracy theories without believing them.)
Conspiracy theories and other misconceptions motivated by politics or ideology are unique to humans because language + complex social organization + some intangible “humanness” means that abstract ideas and information can have great social power, and hence power in the real world, regardless of whether these ideas reflect reality.
[1] Note how many modern conspiracy theories are “backed up” by a slew of “evidence” which takes great analytical effort to refute line-by-line.