In every type of fandom, there's always a ton of speculation. About what will happen next, the current state of affairs, and usually some crazy theories. It's the same for movies, books, and even sports.
We tend to get so fascinated by these worlds that we can't wait to see what happens next. Sports is just another world with its own storylines and characters. The events are real but it has the exact effect that fiction has.
I think it's a sign that a story has succeeded in its goals. When the world created lingers on in the consumers' mind after they've consumed it, that's the ultimate sign of good content.
A lot of content is enjoyable at the moment but few sticks with you long after. What creates this effect though? I'd guess it's by creating some sort of emotional connection with the consumer. Game of Thrones leads to crazy speculation because we're invested in the story and characters. Similarly, sports do because we're connected to our teams emotionally.
It's a relatively rare quality but it's also possible to artificially create it through cliffhangers, and a "mystery box" approach like J.J. Abrams. Whether that's completely sustainable and fulfilling to the consumer though I'm not sure. But it's one quality to strive for when creating anything,