Because fear will keep us in line. Fear of this conspiracy will keep the local villages in line! And since it's the aristocray, and the Emperor telling us this, people believe the opposite ... and the government knows this, that is why they are telling us they don't exist! So that we will believe they exist! The Skaven, the rat men, the scourge of the underworld.
And you know what else? There's a cult, where the Emperor is the master illuminated, and they make sure there are little pieces of evidence all over the place to make us believe that the Skaven exists! So there you have it, it's a conspiracy! To keep the working classes down!"
- Agitator in the Drecksack slums. Curiously, I haven't seen him since he delivered this tirade.