It's a known bug. People are scared of death. Really scared of it, whether it's their own deaths or those of loved ones. When religion comes along with a comforting story about death, people go for that. And because religion, like love, promotes "throwing yourself heedlessly into it" as a virtue (Dawkins suggests that religion might have originated as a misfiring of the brain's falling-in-love mechanism), the very implausibility of religious precepts becomes a badge of honour for the person who believes in them. And it's certainly the case that if you tell yourself often enough that you believe in something, or that its truth is in some undefined sense "your only hope", then you do end up actually believing it.

Peter