Three possibilities come to mind:
Is there an evolutionary purpose?
Does it arise as a consequence of our mental activities, a sort of side effect of our thinking?
Is it given a priori (something we have to think in order to think at all)?
EDIT: Thanks for all the responses! Just one thing I saw come up a few times I’d like to address: a lot of people are asking ‘Why assume this?’ The answer is: it’s purely rhetorical! That said, I’m happy with a well thought-out ‘I dispute the premiss’ answer.
It seems to me that the question of free will is only truly meaningful (aside from being an interesting thought experiment) if we could then perfectly or near-perfectly predict what a person will do. But the system in which we exist is so complex that we will never be able to model that or come close.
So we might as well consider humans to have free will, just as we consider a roll of the dice to be random.
Good points!