The answer is amazingly simple:
Because there is no actual, concrete proof that God exists. Two people can look at the same thing--- one might see evidence of God's handiwork, but the other might see nothing but random events.
So it all comes down to faith, inspiration and insight. Faith is something given, not something achieved. Many people in their entire lives will not find their faith in God because Faith is something God hands out to people who are closer to seeing the truth. Maybe the faith will help them the rest of the way. People simply not ready for God are left to their own designs for perhaps their next lifetime; for them, faith in God is pure fantasy.
The rest is inspiration and insight, again, meted out by God based on where a person is and their actions in this life as well as past deeds. Through inspiration and insight, one receives direct evidence, and usually, most people receiving inspiration and insight from God are well past any need for mere faith and they usually go on to lead holy lives as a priest, minister, bishop, etc., for once one goes past faith into insight, one no longer needs belief for they have seen directly.