A few reasons: we were told to do so by an authority figure (most people treat instruction-giving NPCs in a manner analagous to real-life authority figures), it's a fun thing to buy into that costs you nothing, you've probably heard of others talking about it, and the game is just well-written.
I suspect that there might also be a sort of false attribution going on: the jokes in the game about loving the companion cube rely on you loving the companion cube, you find the jokes funny, therefore you assume that you must love the companion cube (resulting in you actually having a feeling of attachment toward the companion cube). Idle post-hoc speculation, but I think some explanation like that is at least plausible.