Nutshell: fear is an emotional response, mediated by the limbic system (the 'fight or flight' system), and not a logical reaction, which is mediated by the cortex (the higher brain, the part above and around the limbic system).
JWs message of fear and salvation appeals to one's emotions (triggering the 'fight or flight' system), and sometimes the lower brain is able to overpower the higher brain (cerebral cortex) resulting in lingering fears and doubts, even though the person rationally KNOWS its BS.
Island Man said- Another factor could be continued belief in bible-based theism.
Hugely important advice, since most any form of religiosity relies on stirring the emotions of the limbic system (that "Jesus loves me" warm feeling), and that's the very system that contributes to the irrational fears, as well. Yes, there's a few believers who are able to get their amygdalas under control, but for many, it's the old, "the tail of the dog that bit you" thinking, rather than just giving up the addiction cold-turkey to that endorphin rush that comes from believing in God.
Religiosity is one of the few remaining culturally-acceptable addictions, IMO, but it's arguably just as unhealthy for some, like drinking excessive drinking of alcohol and smoking.
Adam