The key there, I think, is that you're not really explaining the past. You're having an illusion that you're explaining the past because the data fits well. The proof is in prediction whether that model that fits so wonderfully actually predicts. A lot of what it's picking up is noise rather than signal. It's actually deceiving you as to whether you've understood what's going on.
Psychologist and author Gerd Gigerenzer of the Max Planck Institute for Human Development talks about his book Gut Feelings with EconTalk host Russ Roberts. Gigerenzer argues for the power of simple heuristics--rules of thumb--over more complex models when making real-world decisions. He argues that many results in behavioral economics that appear irrational can be understood as sensible ways of coping with complexity.