This point is absolutely cognitive science-statistics-philosophy of probability gold!: Judea Pearl, Madelyn Glymour, and Nicholas P. Jewell (2016): Causal Inference in Statistics: A Primer (New York: John Wiley & Sons: 978119186847>)
...Accordingly, they assume (wrongly) that statistical dependence between two variables can only exist if there is a causal mechanism that generates such dependence; that is, either one of the variables causes the other or a third variable causes both. In the case of a collider, they are surprised to find a dependence that is created in a third way, thus violating the assumption of 'no correlation without causation'...
Judea Pearl and Dana Mackenzie (2018): The Book of Why: The New Science of Cause and Effect (New York: Basic Books: 978119186847>)
...a statistician at Stanford University, in a 1991 interview with the New York Times.
True, but there’s more to it.
Our brains are not wired to do probability problems, but they are wired to do causal problems. And this causal wiring produces systematic probabilistic mistakes, like optical illusions. Because there is no causal connection between "My Door" and "Location of Car", either directly or through a common cause, we find it utterly incomprehensible that there is a probabilistic association. Our brains are not prepared to accept causeless correlations, and we need special training—through examples like the Monty Hall paradox or the ones discussed in Chapter 3—to identify situations where they can arise.
Once we have 'rewired our brains' to recognize colliders, the paradox ceases to be confusing...