It is what it is.
Zenner words were never spoken (is "Zenner" even a word? Probably not - but you get the point).
We hear people say these things a lot in America. It *is* kinda Zen - this acceptance of what is.
Why isn't that the most effective world view for a sentient being to have? What value does imagining the supernatural have that offsets the costs that the belief imposes? That may, indeed, be the reason that people have beliefs in (so far...) imaginary entities, and the doctrines and rituals and communities built up around them.
Sure, belief in Lrrr, Ruler of Omicron Persei 8, may have a comforting effect on the believer, and may socially bind believers together in a network of mutual benefit, but strictly speaking, Lrrr doesn't exist. Lrrr can't be found in reality. Arguing that Lrrr will destroy you shouldn't scare the non-believer, and shouldn't make the believer feel that this threat has real value, that the believer can summon Lrrr to wreak havoc on you and your collection of Star Trek memorabilia.
Why, then, does belief in Lrrr continue to gain adherents?
Author's note: Lrrr, I beseech you, please do not destroy me. I have never doubted your existence, even though there has never been physical evidence of your existence, nor evidence of evidence of your existence. Notwithstanding Futurama. Amen.