Well I saw the movie - my guess was that the ending - he imagined himself getting away with everything when in fact he didn't. He did do those crimes, but many times those who are guilty refuse to admit it or admit that they can get caught of they feel they are above the law.
Even when captured, they sense it is still part of their plan
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"Wise men talk because they have something to say;
fools, because they have to say something." - Plato
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