The case
Queen's stadium anthem has been sung at the end of every championship, graduation and karaoke night since 1977, and the crowd always finishes it with "of the world." Play the record: the last chorus stops at "champions," and the song fades.
Freddie Mercury sang "of the world" in the earlier choruses, and live he often added it at the end, so the crowd's version isn't invented. It's just not the one on "News of the World."
Why our brains do this
The rhyme scheme and the earlier choruses set up the payoff, so the mind completes the pattern the recording deliberately withholds.
Sources: Wikipedia — We Are the Champions · Wikipedia — False memory: the Mandela effect