Quite a few reasons... the main one is because you're raised in a family that believes in God so you're just taught that from the time you're born. Kind of an... inherited belief. Some people convert from one religion to another for emotional reasons. I know a lot of people who grew up in predominantly atheist/secular societies (Russia and China, particularly) who converted because they said they "felt empty" and that faith and all the activities of religion made them feel satisfied, peaceful, happy, etc. I also know people who converted from one religion to another (Christianity to Judaism, Islam to Christianity, Christianity to Buddhism) for similar reasons - whatever they were in before didn't "feel right" and the new one did.
Continued belief in God largely comes from natural human bias. We have a psychological practice of building our self-identity around our beliefs and ideas. Some ideas are so fundamental to who we are that disturbing them is literally painful. This phenomenon is called cognitive dissonance. This is why challenging the religious or political beliefs of many people, particularly older, well-settled people, makes them so angry. You are, in the primitive parts of their mind, attacking the very core of who they are. So they get defensive and in some cases violent. This is part of why many people don't change their core beliefs unless there's a significant life event - the death of a close friend or family member, a severe crisis in their professional or personal life, that kind of thing. You have to tear down the rest of their self-identity in order to lay new foundational ideas. With it being so hard to change people, it's no wonder that people born into religion rarely change.