Because some of them undoubtedly did, even people who knew him quite well. In his heyday, millions professed their love, sang his praises. Even those he had condemned in show trials, or in no trials, wrote to him of their devotion, wrote of their faithfulness, wrote of their belief. Perhaps they meant it, perhaps it was the only hope they had to continue living.
One person who does seem to have loved him in something like the normal sense of the word was his second wife, Nadezhda Alliluyeva. Perhaps that is why she shot herself.