It's very simple, it is because they don't know God. If they could only know God they will realize how beautiful life is. His love is enough to live this life to the fullest.
A number of my friends and close relatives have committed suicide over the past 10-15 years. And interestingly, almost all of them were deeply religious. They tried to find solace in the religion initially. But when it failed, they decided to end their lives.