I suspect that magical thinking is a consequence of the way the brain stores and retrieves information, and how those mechanisms participate in perception. My layman's understanding is that the brain's internal "data structures" for sensory data, memories, and concepts are organized very associatively. Then, consider that people normally don't bother to distinguish the world-in-their-minds from the world-out-there. When I see two things come into contact in the real world, a connection between their representations forms in my brain as well. This enables a whole class of mental events that feature that connection. Again, since people ordinarily aren't conscious of the important distinction between the good-ol' map and territory, those ideas bleed into their hypotheses about the world-out-there.