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.
I don’t think it’s incompatible with many worlds, unless I’m misunderstanding something. The many worlds interpretation means that the observer doesn’t collapse the wave function, but rather becomes entangled with it. It only apparently collapses because we only perceive a “slice” of the wave function. (For whatever reason).
I think this is still compatible with Penrose’s ideas, just not in the way he presents it. Anyway, I think he’s not really explaining consciousness, but rather a piece of how it could be facilitated in the brain.