Beliefs.
What are beliefs? Beliefs are statements used to describe something held as true without substantial evidence. Thus being, to understand what a belief really is, is more important than the actual belief itself.
Just because we lack knowledge of our reality, there absolutely is no reason to arbitrarily insert a belief in the blanks. The blanks are knowledge not yet found.
Why do some feel the need to disconnect from reality that way?
It is natural and perhaps healthy for the immature to fear the unknown, though it is something you naturally grow out of with time and experience. But if some cultural institutions like religions can grab people early enough, and block any learning until mental habits are frozen. Then they can keep that fear alive and even grow it, while at the same posing as the solution to fear by filling the gaps with fake answers they dream up. Its called the 'God of the Gaps' sometimes.
Fear.
Fear is definitely a big one. Kinda hard not to be when we live in an eat or be eaten world. Escape reality