It’s arguably layers of this cover behavior, and mostly as you say because it’s fun. The first layer, closer reading and fan theorizing, is covering why they’re into children’s media or some other media that isn’t seen as fitting them.

The second layer is entwined with the first, the fan theorizing is itself covering what some are too insecure to say or do outright, which is make fan fiction. Some may look down on making fan fiction in similar ways as they feel looked down on for what they’re enjoying, making it somewhat ironic.

In short, don’t let your fan theories remain theories, make fan fiction and your own independent, inspired work!