I think there are two related things at work. 1. We have evolved to detect agency. The brain has been called a pattern-recognition machine. The brain that interprets measured footfalls and snapping twigs as a potential predator lives while the brain that thinks it's the wind ends up as someone's lunch. 2. We alone have evolved the ability to invent, talk about, and believe in fictions.
The following is cribbed from Yuval Harari's book, Sapiens: A Brief History of Humankind, though I'm paraphrasing and maybe doing some editorializing.
Between 70,000 and 30,000 years ago, Homo sapiens underwent the single greatest change in our history--the Cognitive Revolution. During that period we learned to think--and more importantly--express ourselves differently, with immensely more variety and fluidity of information transmission.
Without this breakthrough, archaic Homo sapiens would likely have not been able to sustain groups much larger than 150 because that's the limit to how many relationships we can keep track of, and this is vital to such intensely social animals.. Most chimpanzee troupes max out at about 50, and Neanderthals would have probably been somewhere in between the two numbers.
The ability to think and speak abstractly--to invent fictions, 'imagined realities' or 'social constructs'--is what allowed us to work collectively in very large groups. It is interesting to note that other fictions besides religion--art, social stratification (governments), commerce--all appeared at roughly the same time.
To answer the question, so many humans are still immersed in religion because it's at the core of who we are. In a very real way, it was religion that allowed us to expand beyond small hunter-gatherer groups and take control of our environment.
Personally, what I would like to see happen is for a different fiction to overtake and replace religion--that of worldwide community and balance with the environment. But I don't think that will ever happen. I think religion is with us until the end. Ironically, the same thing that played such a large part in our success may also be what eventually dooms us as a species, though perhaps that's not fair, since what's at play in religious strife is in-group out-group thinking, and if we didn't have religion we would find another reason to hate the "other."