This actually makes quite a lot of sense. We something bad happens, it's much easier if there's one person, or a few people who are obviously responsible - we've got someone to blame and punish, even if someone else ultimately cleans up the mess. With climate change we don't have anyone to blame, and in fact it's something that nearly every human in the world has contributed to. No one wants to believe that they could have done something like this... and so they deny.
It might be helpful to look at this through the lens of a textbook example from Ethics 101: The Drowning Stranger.
"A man is drowning near the end of the dock," the professor says. "What is your responsibility?"
"I didn't push him in!" the student says, with abrupt, vehement anger.
This question of blame and innocence seems to be central to much of the denialism and the vehemently irresponsible lack of a response to climate change. The more overwhelming the evidence becomes that climate change is, undeniably, happening, the louder they protest that nothing can or should be done because climate change isn't "man-made." After years of denying that there even was a drowning stranger in the water, they've fallen back to the student's defensive claim of "I didn't push him in!"
The fact is that all the available evidence is to contrary. and denying it's there won't make it go away. Even if you don't want to accept responsibility for this problem, you can be part of the solution, because many of the actions that reduce your carbon output will also save you money.