[LiquidSky]

It's not weird at all. The human mind has all sorts of ways of protecting itself from harm or pain. No one likes feeling like a fool or being shown to be wrong. When faced with the (subconscious) choice of either admitting you were tricked and feeling humiliated or a comforting lie that somehow you were right all along, the lie is very tempting.

Con men count on this to keep their marks from balking, and I imagine the bigger the swindle the more powerful the urge to accept the delusion is, since the humiliation and shame are all the greater. Especially when, as in the parent comment's grandfather's case, the man's own son was telling him he was being scammed and he refused to listen. To have to face his son later and admit he'd been had must have seemed far too galling.