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.
Yes, there’s an evolutionary purpose for the concept of purpose. If you believe you can do something and show some initiative then you’re more likely to get it. The early bird gets the worm, and the bird that anticipated the worm is the early bird. This is true both for humans and cells in a petri dish.