If you "choose to believe" something, it's just a fantasy. If you "choose to believe" something, you don't really believe it. To really believe something, you have to have enough evidence to be certain about it.
Fortunately, pleasure is inherently valuable (this is given by biology), and moreover, our brains supply us with pleasure (in the form of brain chemistry). So now we have a basic value that we can erect other values around. Of course only if they are valid. I can value preserving my life (for instance), art, my loved ones, and so on, but I can't value something arbitrarily.
(The exact psychological mechanism of genuinely enjoying and thus valuing art and loved ones, and such things, is not straighforward, but it's there. Seeing how preserving one's own life is a value is more straightforward. I am a total egoist, by the way, because you can't out of that with the framework I am describing.)
edit: In other words: you should not just choose to "believe" one thing or another. You should look at reality and decide what the evidence favors.
Otherwise, you don't really know, and you know that you don't really know, and you are flying blind in life, and thereby engendering in yourself a sense of helplesness and anxiety (no coincidence that one of Sartre's works was called Nausea...).