People are religious beings. Our religion is our attempt to work with the future, a thing that we know imperfectly, and that we really don't know anything about.
If we didn't have the idea religion built right into us, we would operate our lives in fear of the unknown. The orderliness of aspects of the universe gives us hope that things will work out well for us. If we have no other religion, then this is our religion. Often we want more than something as simple as orderliness.
I think that all religions have been created due to the fact that people are afraid of dead.
Believing in something makes us think that there is another world on the "other side" and our relatives are waiting with our God.
There is not any scientific proof what happens after death.
There isn't any proof, scientific or otherwise, that science will always be able to even touch everything... to say nothing about proving it.
The evidence for this is that science hasn't been able to readily find or conduct experiments on the soul. But we are getting closer - https://www.youtube.com/watch?v=Xeh001ptDgo.