What might be true can be more important than what is true.

If you are on a crowded sidewalk and you hear, "He's got a gun!", do you immediately take cover, or do you stand there, looking around? The smart move is to take cover immediately, because if you heed a false warning, you are merely inconvenienced, but if you ignore a true warning, you risk death. In decision theory, this is called "loss function analysis".