Those movies that Chad mentions -- "E.T.," "JFK," and "The Pianist" amongst others -- may have an element of no reason.
It begins with a policeman speaking directly to the camera, telling us "all great films without exception create an element of 'no reason," using weird examples like "The Pianist" and "JFK," because they were the last two films in Dupieux's Netflix, I guess.
We begin in the desert with a sheriff (Stephen Spinella) explaining that movies -- indeed, all plots -- are random, senseless, arbitrary (among his examples are the protagonist of “The Pianist” dressing like a bum “for no reason,” so take it as you will).
This is the guiding principle of Dupieux's project as well, though to take this expository opening as the concrete answer to the film's ensuing questions of "why" is to fall for the director's joke, since while some of Chad's examples of "no reason" are legitimate (for example: there really is no specific reason why Spielberg's E.T. is the color brown), others simply make no sense (there actually is a very clear motivation for The Pianist 's protagonist hiding out and acting "like a bum").