Virtually everybody does, but the term 'conspiracy theory' has twisted to mean only those theories about conspiracies which the government doesn't officially endorse. If the federal government tells the public a theory about a group of men who conspired to hijack four airliners and crash them into buildings on the same day, that is literally a conspiracy theory but isn't considered to be a conspiracy theory in the twisted colloquial sense of the word because the government endorses it as truth.
And it's not really about the evidence. How many people have personally sifted through all the evidence before deciding what to believe? Few people have the time, inclination and access. Instead people delegate that responsibility, usually to the government. The veracity of the evidence is taken on faith. For instance, how many people who take the 9/11 Commission Report as truth have even read the report itself, let alone reviewed all the evidence that supposedly backs it up? I think not many. How many people who believe the report have also heard that intact passports from four of the hijackers were supposedly found in the rubble of the fiery wrecks? How many have heard that one of those passports was supposedly found on the street of NYC, and nobody knows the identity of the person who found it?
But this theory about a conspiracy isn't a conspiracy theory because.. the government says it's true.