My parents where pastors- yah lot of that behaviour growing up- I don't think you need to retrain your self it's more of a social thing- the part I want to know is why don't we say anything when someone is coughing?

Eh, it's not a big deal. It's just an empty custom. A way of saying, "it's okay with me that you sneezed, don't worry about it, and I hope you are okay". Life is too short to exorcise every custom with some origin in religion that most people aren't aware of to begin with. Observing a social convention is not endorsing theism.