Because religion evolved to thrive in us.
It's like a parasite, and our mind is the host. It competes with other mind-parasites like other religions, or even scientific ideas. They compete for explanatory niches, for feeling relevant and important, and maybe most of all for attention.
Religions evolved traits which support their survival. Because all the other variants which didn't have these beneficial traits went extinct.
Like religions who have the idea of being super-important, and that it's necessary to spread your belief to others, are 'somehow' more spread out than religions who don't convey that need.
This thread is a nice collection of traits and techniques which religions have collected to support their survival.
This perspective is based on what Dawkins called memetics. It's funny that this idea is reciprocally just another mind-parasite, which attempted to replicate in this comment.