As others have said, it’s for navigation. Insects have compound eyes – they’re made up of many sections that can each see individually. They navigate by keeping a source of light like the sun or the moon visible in one of these sections. If you do that with something as far away as the sun or moon, it doesn’t shift position when you move, so the result is flying in a straight line. If you try to keep a light that’s close to you constantly in one eye section, you’ll have to turn. This leads to flying in a spiral pattern and colliding with the light source.
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