Fear of death, need for authority/leader (super father/mother figure), fear of other people (belief in goodness and "karma"), feeling the need to have an outside divine - hence unable to be wrong like parents - source of morality that would guide them, having a purpose of life. It might also be a thing that helps with feeling lonely and having "someone" who understands You and supports You in things that You believe other people would not. It might also be a way of creating a strong bond with other people. . They may also need it because that's how they were raised and were so imersed in it, that they would have to say to themselves that all those people they loved were liars or just wrong. . etc. . And if You're asking about Religion - as in institution as opposed to just God -, people are group animals and even when believing the immaterial they still need their sense to have some things that are more sensible, symbols, rituals, holidays, meetings, books and stories in order to experience the immaterial things more... materially. Cause paroxically "material expressions of godly interventions" into the material world are necessary for more belief.