I am a math student just learning QFT, so I will try to explain from my mathematical point of view as to why spinors should exist. First I would like to say that a vector space and what physicists call vectors are two different things: a vector space is something like $\mathbb{R}^n$, while what physicists call vectors is the tangent bundle of a manifold. To clarify this, let's begin by reviewing what (and why) vector bundles are. In fact spinors are also just vector bundles, and thus mathematically aren't more special than any other vector bundle.
A rank $n$ vector bundle $E$ on a manifold $M$ is a vector space of dimension $n$ attached to every point on a manifold. A good way to think of this is a parametrized family of vector spaces. For later use, a section of a vector bundle is an assignment of a vector at the vector space of every point that "varies continuously". This was a confusing thing for me to get used to because not all vector bundles are trivial (i.e. $E$ is a product $M\times \mathbb{R}^n$). Some trivial examples are a(n infinite) cylinder (rank 1 vector bundle over a circle) and $S^2\times\mathbb{R}^2$ (a trivial rank 2 bundle over a sphere; harder to visualize). Nontrivial examples are the open mobius strip (a "twisted" family of rank 1 vector spaces over a circle; each fiber should technically be extended infinitely) and the tangent bundle to the sphere (a "twisted" family of rank 2 vector spaces over a sphere). The latter example can be visualized as the tangent plane attached to each point of $S^2$ embedded in $\mathbb{R}^3$. This twisting is harder to imagine, but is guaranteed by the hairy ball theorem, which states that a sphere has no nonvanishing global sections (vector fields) while (you should check) every trivial rank n vector bundle admits n everywhere linearly independent sections. In fact, it can be easily shown (try it) that there is no nonvanishing global section of the mobius bundle as well. In minkowski space (the context of basic QFT), only trivial vector bundles are needed (any vector bundle over a contractible manifold can be trivialized), but it is good to have nontrivial examples of vector bundles to understand that they are richer than vector spaces.
First question: why should we care at all about vector bundles? We learn from quantum mechanics that particle states are described by vectors in some vector space which describes the space of states. In QFT, we have quantum fields which associate a particle state to every point in space, so the space of all states is described by a vector space at every point i.e. a vector bundle! A particular state is described by a section of said vector bundle (a state at every point). The way to think of it is that sections are essentially $\mathbb{R}^n$ (or $\mathbb{C}^n$) valued functions, but more precisely, this is only true locally. If it was true globally, the tangent bundle of the sphere would admit a nontrivial tangent vector field: e.g. the field "(1,0)". It is true globally iff the vector bundle is trivial, so a vector bundle is to be thought of as a parametrized function where the codomain may change point to point, but every codomain is isomorphic.
Now, we have not actually stated what vector bundle we're working with. One example of a vector bundle that is canonically associated to any manifold is the tangent bundle. This is the bundle that "locally looks like the manifold"; I won't go into details of defining this because people prefer their own of a multitude of definitions which are at the end of the day equivalent. I have no personal qualms to picturing a literal tangent plane of the manifold embedded in some high dimensional $\mathbb{R}^N$, but I've found the best way to think of the tangent vectors at a point is the possible "infinitesimal deformations" of the point. You can skip this next part of the paragraph, but I'll explain vector bundles some more. There are ways to get new bundles out of old through operations which give a new vector space out of old ones such as the dual of a vector space or the direct sum of vector spaces or the tensor product of vector spaces. Performing these operations "fiberwise" on vector bundles gives new vector bundles. In particular taking tensor powers of the tangent bundle give what physicists call "tensors" and taking duals give "covectors", and combining give arbitrary $(k,l)$ tensors. Tensor products correspond to keeping track of the states of multiple particles. As an example, on the sphere, a generic section of the tangent bundle vanishes at 2 points, a generic section of the tensor square of the tangent bundle vanishes at 4 points, while the dual of the tangent bundle has no nonvanishing global sections (follows from the Chern class)!
Now, on $\mathbb{R}^4$, I mentioned that any vector bundle can be trivialized, so really they are classified by their dimension, and you don't have this weird "twisting" phenomenon. However, we have more structure at hand, namely, symmetries! We postulate that whatever physics we have (whatever vector bundle we choose) should be invariant under Lorentz symmetry i.e. sections which are solutions to EOM should be sent to other solutions. To give a very simple example of why this is useful, take the differential equation for a hydrogen atom. This equation is rotationally symmetric, and thus if $\psi(x)$ is a solution and $R$ is a rotation, $\psi(Rx)$ is also a solution. This means that $SO(3)$ acts of the space of solutions i.e. the solutions form a representation. Then, the irreducible representations ("states") can be understood by studying the abstract representation theory of $SO(3)$ or its Lie algebra $so(3)$ - these complex representations are classified and allow you to quantize the states (or at least understand the possibilities) without ever having to solve the differential equation!
Now what do we mean by this invariance in general? One guess would be if a section $\psi$ (essentially a function) satisfies the equations of motion, then if $x$ gets sent to $x'$ under a Lorentz symmetry, we should have $\psi(x)=\psi(x')$. However, there is a big problem with this! $\psi(x)$ lives in the vector space over $x$ while $\psi(x')$ lives in the vector space over $x'$ and these cannot a priori be compared! Perhaps you think this is not a problem - as our vector bundle is trivial, each fiber is isomorphic and can be compared. Unfortunately, it is not so simple since the trivialization is not canonical. In other words, we can "twist around" the fibers while keeping the vector bundle trivial, but the comparisons of fibers are different. Imagine a trivial rank 2 vector bundle over a circle (an "infinite square torus") and "twisting it without tearing", this changes the trivialization. Also, if we could always compare fibers, we could find a nonvanishing tangent vector field on the sphere - take some vector at a single point and move it around by the transitive (takes any point to any other) action of rotations on the sphere - clearly this doesn't work!
So what is the solution? We need a way to compare vector spaces over different points which plays well with our group acting on our space in some way. Imagine a 1 parameter subgroup e.g. some rotation parametrized by angle or a boost parametrized by whatever you call the parameter. A point $x_0$ will trace out some path $C(t)$ where $t$ is the parameter and $C(0)=x_0$ (for a rotation, a part of a circle; for a boost, a part of a hyperbola). Now this part may get a bit confusing. Fix some trivialization of the vector bundle under consideration (as yet unspecified) i.e. a way to compare vector spaces at different points. Now, there is a "nice" comparison which plays well with our group action, but as explained, this may not be the trivialization that is chosen. So suppose that in our initial trivialization, we have a section (i.e. function to $\mathbb{C}^n$ for some $n$) $\psi(x)$. We said that perhaps $\psi(C(t))\neq \psi(x_0)$ (in this trivialization), but at the very least, $\psi(C(t))=A(t)\psi(x_0)$ where $A(t)$ is an $n\times n$ complex matrix depending on $t$ (as any two vectors are related as such). Interpretation: imagine the vector space over $x_0$ "twisting" along $C(t)$ as $t$ varies and our point traces the path; $A(t)$ measures this twist. Now technically $A(t)$ is not fully specified as we only know the output of $\psi(x_0)$, but by choosing different linearly independent sections, by imposing that the comparisons should be linear, $A(t)$ can be fully determined.
Here's the important point! $A(s)A(t)=A(s+t)$ as moving (and twisting) $s$ along and then $t$ along should be the same as moving (and twisting) $s+t$. Thus, $A(t)$ forms a representation of the one parameter subgroup on the fiber $\mathbb{C}^n$ of $x_0$ (which is identified with the fibers of $C(t)$ as it moves around)! This actually holds for all $x\in \mathbb{R^4}$ simultaneously, and the representation must be the same on each fiber by continuity. More generally, we are allowed to rotate and boost in some direction and then rotate and boost in another direction, and still maintain symmetry. Tracing through, the fiber $\mathbb{C}^n$ furnishes a representation of the Lorentz group!
As explained, the representation is essentially found by "dragging along the vector space" i.e. if we know how it works infitesimally, we can recover global behavior (the semigroup property above comes into play here). Thus, we can study a representation of a Lie group by the representations of its Lie algebra, which in this case turns out to be isomorphic to $su(2)\bigoplus su(2)$. This can be classified, and it gives you integral spin representations, and half spin representations - I consider this to be something you just "have to compute" though, I don't have much intuition as to why these are all the representations. Then any physics we want to do MUST arise as one of these. Hence, in this light, the spinor representation is, as a vector bundle (vector space), nothing more than $\mathbb{C}^4$, the same as the tangent bundle (tensored with $\mathbb{C}$)! What is different is the way that the Lorentz group acts on it.
Now, integral spin representations (I believe) correspond to the tangent bundle "vectors", its tensor powers "tensors", and duals (if $G$ has a representation on vector spaces, it induces representations on tensor products, duals, and direct sums). Note that these bundles actually naturally furnish a representation of the full diffeomorphism group of the manifold. The half integer representations correspond to spinors.
Now I finally get to the question that I think you're mainly wondering, why do these spinors not return to their initial position after rotating around $2\pi$? The answer (a bad one) is why should it! Explained better, while the vector bundle itself has no twisting (like the mobius band), the representation does. As we move along the circle traced out by $x_0$, the fiber vector space twists around, and when we get back, the vector space isn't the same as it started. This is a phenomenon known as holonomy - we can only control infinitesimal symmetry (by studying the Lie algebra), but global symmetry is not guaranteed. This is the same phenomenon as when you carry an orthonormal basis along a Mobius band, it reverses orientation when you get back, even though it always varied continuously. In fact, it's a miracle that it even does get back to where it started when we rotate $4\pi$. Mathematicians call "miracles" theorems.
It is a theorem (I believe) that representations of real Lie algebras are in 1-1 correspondence with representations of the corresponding simply connected Lie group. To explain, the Lie algebra structure on the tangent space to the identity of a Lie group determines the group structure locally, but global structure may differ via the fundamental group. A simply connected Lie group $G$ with the same Lie algebra as $G'$ is a covering space of $G'$, and a representation of $G$ is a representation of $G'$ iff it is trivial on "deck transformations". It is a theorem (again I believe) that every Lie algebra has a unique simply connected Lie group. Now, let's analyze $su(2)=so(3)$ (one of the factors of the decomposition of the Lorentz group comes from the subgroup of rotations). We know $SO(3)$ is a Lie group with Lie algebra $so(3)$, but is it simply connected? No! It turns out $SU(2)$, which is topologically isomorphic to a 3 sphere, and hence simply connected, forms a double cover ($2:1$ surjective map) of $SO(3)$. Thus, $\pi_1(SO(3))=\mathbb{Z}/2\mathbb{Z}$. Thus, the representations computed from the Lie algebra correspond to $SU(2)$ (or $Spin(3)$ if you like), and this also explains why you get back to the identity after $4\pi$ instead of $2\pi$ - the half spin representations correspond to representations of $SU(2)$ which are not representations of $SO(3)$, it also explains why $4\pi=2\times 2\pi$ is the only phenomenon - $|\pi_1(SO(3))|=2$, and not, say, 6. So at most, any nontriviality (holonomy) must be resolved after 2 rotations.
Now why is physics only invariant under local symmetry and not global? I don't have a good answer other than observation I guess. You could postulate symmetry under $SO(3)$ rather than $so(3)$, but this would not yield accurate physics. Finally, there are many ways to get at the representations of $su(2)$. As explained, the Clifford algebra is one such way. Another way is a lovely argument with the eigenvectors of a set of generators of $su(2)$. I believe a third way is to have $SU(2)$ act on $\mathbb{C}^2$ with unitary coordinates $(x,y)$ and look at the induced homogenous polynomials of degree $n$ in $x$ and $y$ (which turn out to form irreps). The second way is the only way I can see that guarantees you have everyting, the first is neat, and the third has the advent of explicitly giving the group matrices instead of the Lie algebra matrices.
To summarize, why spinors exist is perhaps the wrong question; the answer at the end of the day is representation theory. The question that should be asked is why does representation theory appear in physics? This is because things are linear (QM), giving us vector spaces/bundles, and we have symmetries, thus giving us representations. As a good mathematician, let's change parameters: suppose we lived on a torus and had rotational symmetry along each axis - then we would instead care about representations of $S^1\times S^1$ or its Lie algebra, which is $\mathbb{R}^2$ (with trivial Lie bracket). If instead we lived on a sphere and demanded rotational symmetry, we would study representations of $SO(3)$ or $so(3)$ rather than the Lorentz group. Rather, if we consider the sphere as $\mathbb{CP}^1$ and we lived in a funky world where physics was left invariant by conformal transformations, we would study the representations of $PGL_2(\mathbb{C})$ and its associated Lie algebra. All of these topological spaces have nontrivial vector bundles as well which adds another level of complexity! Interestingly, we certainly don't know the topology of our universe, so these considerations may actually be fruitful one day.