No one would choose to be a bigot, seriel killer, or mass murderer if they had the choice, either. The simple explanation of course is, 'sh!t happens'. Various life experiences influence our thoughts, and believe it or not, our own thoughts can change us; for good or bad, and for 'male or female'.
I had no desire to dress as a, or be a girl, until after I was molested (other than the occasional notice that my older sister seemed to be treated better than I was, to which I attributed to her being female) and until that occurance, I felt in every way that I was a boy, behaving as such as well as self identifying as one. But, thereafter, various influences in my life continued to move me towards crossdressing, as well as distort my gender identity to the point where I began to believe that I 'felt' like a girl by the time I was a teen. Our minds aren't 'finished' when we're born, they continue to develop throughout our lives, and external events can make either temporary or permanent changes in us as our lives progress. A simple example is, that if we constantly do an activity, we get better at it, up to the extent of our physical capacity and our knowledge of it. This is not to say we are entirely consciously aware of what's going on, or that it's a 'choice'; it goes on whether we are aware of it or not, and or if we want it to happen or not. My abuser planted the seeds of gender identity disorder into my head; as years went on, assuming that he was right and that god had made a mistake, I read into past happenings in my life that I thought indicated that he was correct, which reinforced the idea that I was really female. Too young to have the knowledge to discredit his suggestion, I went along with it, gradually reinforcing it until I was teaching myself to be a girl. By the time I learned enough to dispute the idea, the feelings of being female all the time had become part of me. Knowing that it is false, does not stop the feelings. My own theory, which has been supported by a few therapists that I have spoken to, is that at some point in our lives, our gender identity becomes permanent: It is not at 'one second, one minute, one day in time', but gradually as something in our minds 'sets', much in the same way that our speech pattern sets during puberty, as at about that point it is set into us whether we will develop an accent when we learn new languages. None of this is written in stone; there are no studies being done, basically because it would require lifetime controlled studies, which we do not do on humans. And as no other creatures are advanced enough to speak to us, there is no way to do experiments with them, either.
Or, you can simply go with the Popeye theory: 'I yam what I yam'.
Edit; an even better example is military training, where they 'break you down' and then build you into the soldier they want you to be. For the lack of a better term, 'brainwashing' is nothing new. And when done for a long time, whether inflicted by an outside source or by our own behavior and beliefs, it becomes more and more likely to be permanent. Whether you want to believe that certain pathways in our brains become 'stronger' or whatever, continuous reinforcement of repeated behavior makes it more likely to feel 'normal' to the individual.
The huge problem we have with crossdressing is the ingrained homophobia throughout the world; virtually every male is told from the moment we are self aware that being feminine is a horrendous thing, we're even taught that god feels it's wrong. So you have a huge population of crossdressers who can't even admit to themselves that they have any connection to wanting to do, act or be female. It goes so far as to cause some of us to split our personalities into 'our male self' and 'our fem self'. You'll often see written on these forums men talking about their other 'female personality' as a distinct different person(a). It's a way of avoiding any connection with that behavior, which their male mind simply cannot accept as part of himself.