Behind every requested, "Please pray for me" is deep human need that has little to do with the need for logic or "evidence" and more to do with one person reaching out to another in a time of trouble or impending loss. I would have no difficulty saying to a close friend who asks me to pray for them, "Of course I will - and I'm also here for you."
That said, it's another matter altogether if people feel the need to tell me they will pray for me. Depending on who they are, my reply could range from, "F off" to "Pray harder" to "Is the prayer meant to make you feel better or me?"