Because we question whether there is anything beyond what we observe through our senses. Quantum physics shows a world VERY far beyond what we perceive. Bertrand Russell stresses how we don't actually observe the 'being' of a table, we see how it is shaped, the denseness of the material, the feel of the material, and from that we infer that it is indeed a table, which the word 'table' is a nominal symbolic reference to a general category of what a table is.
There was an ancient tribe that had a person that had never seen a human from far away, when he say the human first, he thought it was a bug because they were so small, then as they got closer the human grew and it blew the guy's mind. This helps to show how much of our world is inferred based on input through our senses.
It is the scientific and philosophical mind to question our senses and whether there is something more and to understand what that is.
For all I know, I could have had memories implanted just now, and what I experience is all a simulation. Who can prove otherwise? Now, this isn't to say that is the case, but it is a plausible argument.
What if a game character had the ability to question itself? You wouldn't have any direct way to interact with that character because it is in a different realm of existence, it is inside the game of code while you are in a physical 'reality.' That is, unless the game coders somehow created an interface for you to chat directly with the character, and even then you would simply be a voice inside their head. Although if you could interact with the physical realm AND be a voice inside their head, then you could prove your existence outside that character's own being and realm of existence.