I, personally, find that actually more understandable (as someone that isn't in the group) than I do, say, most religions and their belief in a higher power. That's not to in an attempt to offend or belittle either group (or the overlap, religious Therians), just a view from my particular perspective where it's really no more strange than anything else people do. If it makes them happy, lets them connect with others, etc. who am I to judge?
There are, of course, outliers that literally believe themselves to be shapeshifters or whatever, but, okay? As long as its not impacting their day-to-day too much, many of them are still probably mentally more healthy than a lot of other people.