Probably the same reasons bluebottles manage to fly in my slightly opened patio doors and make it as far as the kitchen. I don`t know the answer though :-)
its really annoying isnt it??? i was sat reading my book and a wasp flew in it was so big i felt the draft off its wings..i spent 10 minutes trying to get it out and when it eventually decided to make its escape through the door another 1 flew in...aggghhhhh...
An insect's acute sense of smell enables it to find mates, locate food, avoid predators, and even gather in groups. So your conservatory must have one or more of these (Food would be my guess). Why not try net curtains?.