I think it is because of that everyone is looking for some greater power, to not accept the fact that he is only on his own, and every choice he does (even the bad ones) was made by himself, not by god order or something like that.
Also, another reason I can see is that the people cannot become reconciled with the thought, that after death there is nothing but just pure blackness, a void. We are looking for some explanation, and we are hoping that the death is not the end for our souls, we really want to have something more except only living on this world, but many people tend to  believe that we are only in some kind of a shell, which we will abandon after death to go somewhere else.