In fact, I daresay that the more intelligent you are, the greater your risk of falling for conspiracy mythologies. Because one of the features of intelligence is the ability to hold several things in your mind and see the relations between them, whatever those relations are, as well as seeing where there aren't relations, and then to draw something further out of that.
An obvious example is any sort of math problem.
Another good example is medical diagnosis. Related to that, psychological diagnosis.
Another obvious example is scientific research, as well as being able to design an experiment.
I would also say that many forms of creative thinking are also examples, such as a cook creating a new dish or meal; interior design; making clothes without using any patterns or guides; architecture, etc.
So, if you're pretty good at being able to see how things are related, or not, how things fit together, or not, it's easy to get swept up into the alluring mythology of conspiracy theories because seeing connections and patterns is what they're all about.
It's not intelligence that guards you against falling for bullshit; it's critical thinking. (Critical reasoning, critical analysis, whatever you want to call it.)
Slate Magazine is a pretty good source of good critical thinking. With respect to the topic of conspiracy mythology, I recommend an episode of their podcast (the first part anyway, since they go into other topics further into the episode):
Slate's Political Gabfest: Hersh's Conspiracy "Theory" on the Killing of Osama bin LadenYou may have to scroll down a bit on the page to get to the embedded player to listen to the podcast.