I guess the need for some sort of way to cope with life's adversities and the unknown can lead to people believing in things that don't have any evidence to back them up. A lot of religious people are indoctrinated from a young age, so many grow up not questioning their faith. There can be a lot of pressure to conform to those beliefs, due to everyone around you having them. To question something that has been ingrained in you since birth and that everyone around you believes in can be hard and terrifying for many. It can lead to isolation and ostracization from your family and wider community and cause one to feel lost. Some people also don't even realize that there are other options. For example, I used to believe in god because everyone else around me, at the time, was religious. I had many doubts, but I suppressed them. I didn't realize that not believing was an option until the internet exposed me to atheism. Not long after, I became an atheist.
Along with that, a lot of religious people also feel like they have "evidence" for their beliefs. This evidence is typically anecdotal and in many cases there are better explanations for those things in comparison to them being as a result of some sort of divine intervention. Back when I was in middle school, we went on a religion retreat and there were these three older teens who were helping out with leading it. At some point, out of nowhere, they called out the non-believers and told us to pray to god and to ask him if he was real, claiming that he would respond to our question. They then proceeded to, one by one, go over their own testimonials on how they had doubts and asked him and he answered their prayers. It was fucking weird. The point is, if you believe in something then you will likely look for signs where they don't exist in order to try and justify those beliefs.
