That's a retarded question. Who likes admitting they're wrong? I know many people don't believe in religion at all even though they go to church and claim to believe in it. Hell, my foster parents told me flat-out they didn't believe in god but they still went to church and sang in the choir. So even the people who do believe religion (or at least the deity of a religion) is bunk, might still just enjoy the traditions. It's just not okay for them to force that belief on others or hurt others for not believing (Spanish Inquisition, and our current Muslim radicals). So if you're asking why people believe in something when the world is in such a bad state, there are any number of answers, the most common probably being that, when there is no hope, you have to create hope out of nothing, and hence, religion.
If you're asking why people still believe in the face of evidence like evolution and dinosaurs and bacteria on Mars and stuff like that, well, that's a more difficult question. More often than not it's stubbornness and that goes along with not wanting to admit they could be wrong. It's different than being in an argument with one's significant other, for example. This is something they've believed in all their lives, so how dare someone threaten that belief? It's shaped who they are so even if they do know it's got a lot of holes in it, they still love that belief. It's just that more often than not, they DO use that as an excuse to have a superiority complex and/or force those beliefs on others.