Suppose you just started learning physics and you've been introduced to conservation of energy and kinetic energy. Apart from those concepts you know next to nothing. Then you observe an inelastic collision. You measure the speeds of the objects before and after the collision and you are puzzled because kinetic energy is the only form of energy you know and you see it's clearly not conserved. You conclude that either:
a) Conservation of energy is wrong.
b) The formula $E_k = mv^2/2$ is wrong.
c) There is some other form of energy you didn't account for.
HOW do you know which one of those scenarios is true? Can you measure the total amount of energy contained in those two objects before and after the collision and reassure yourself that everything is okay, energy hasn't gone anywhere, it just changed its form? If you observe an object that seems to gain energy from nothing, how will you know whether conservation of energy fails or there is some undiscovered form of energy that you don't know how to measure yet?