I've asked this question in similar terms.Recorded human history largely has always had some form of deity or spirituality within the culture. Native American spirituality and ceremonial (Magick) traditions that speak to beings, yet to be or departed have no tangible evidence in science, yet they believed in 'something'. Maybe not a religion, but something supernatural. Why? Where did it come from.
But go all the way back to ancient history, humans have alway leaned towards "religion" or deities, with no tangible evidence. If a person 6000 years ago said, "Hey, I think we should believe in this god", even humans 6000 years ago would still ask, "Where's the proof". Yet, religion has always been a part of human culture.
Why? And I don't think the idea of "Well they used gods to explain, rain, earthquakes, volcanoes, etc.," as an exhaustive answer. The belief in life after death, isn't explained in nature, yet humans have always pursued this path with no tangible evidence?