I recognize that I may have a problem of empathy when it comes to conversing with, or choosing not to converse with, people that express religious belief in public. Clearly, having a personal connection motivates me to use extra care when considering conversation.
An example: a friend that has a boy in the military who's deployed to Afghanistan. She has maternal feelings that I cannot have, and may feel a lack of control. Her religious upbringing - as tangential as it may have been in her teens - may be a source of strength in the face of uncertainty and lack of control she encounters today. This divergence in the way that she responds to life's crises, and the way that I respond to life's crises, leaves me far from her emotionally. I recoil at her expressions of belief, yet look for non-verbal signals that indicate that I support her hopes and dreams - that I am with her - without expressing support for her (apparent) religious views.
In the sense that I described above, I can see why people believe in "X", whatever supernatural thing "X" is. Various stressors - cultural upbringing, familial and social pressure, lack of control, lack of love, other emotional pain - combined with predispositions and transient knowledge and emotions, may all converge to encourage a person to seek shortcuts that attempt to balance their mental state. It may be that's what religion is good for.
I didn't go down that path. Right or wrong, good or bad, I stumbled through the uncertainty and pain, and survived to reach a place where I could consider life and its causes and effects from a more serene and level ground.
I try to remember that "i got lucky" to be on serene and level ground, but my luck took decades of persistence and pain tolerance. And I try to remember that other people are on different paths, and are different distances along their journey.and I think that that is being empathetic, too.