The main possibility, I'd say, is that organizationally there's a push and pull of wanting to have the fear of secret weapons programs existing (for funding) and not wanting to seem incompetent. For example, if the CIA doesn't come out and deny these weapons, your geriatric boss calls up and says where are our secret sound guns? Why don't we have countermeasures?

In general, I think intelligence agencies are not monolithic and probably have many different factions etc. vying for funding, power, and control. It seems reasonable that many in the CIA would benefit from denying this, and many would benefit from exaggerating it.

Because it works

Once these narratives are disseminated, even if they are later denied, it will only strengthen them.

You just need to build the atmosphere, then people will select narratives