This paper introduces a Theory of Troubleshooting that is rooted in cognitive science. This theory helps software developers explain the challenges they face and the project risks that emerge as troubleshooting becomes difficult. We define troubleshooting as the cognitive problem-solving process of identifying, understanding, and constructing a mental model of the cause of an unexpected system behavior, and consider the cognitive process of troubleshooting to be an integral part of the activity of debugging. Troubleshooting is a particularly intense and draining aspect of software work, placing sustained demands on attention, working memory, and mental modeling. By surfacing and naming the confusion experience inherent in troubleshooting in terms of neurological and attentional dynamics, our theory explains how prolonged troubleshooting can deplete cognitive resources and lead to cognitive fatigue. In the study presented in this paper, we interview 27 professional developers about their troubleshooting experiences, and follow a Constructivist Grounded Theory approach to construct a theory grounded in empirical data. Our theory contributes to research on Developer Experience by providing a cognitive foundation for understanding troubleshooting difficulty, fatigue, and sustainability risk--and offers practical implications for both research and industry.