Speaking as someone who does: Those of us who do are often raised in a very religious place among very religious people, it's a big part of our lives. Rationally, I have no reason to believe in any God. That's why it's called a belief.

It's a lot more to do with the culture one grows up with than the belief itself, and anything you learn at such a young age is difficult to shake loose of completely.

Personally, I used to be a strong Lutheran, I'd say I'm now 20% Lutheran and 80% agnostic, but even that has far less to do with me intellectually not recognizing my God and a lot more to do with frustrations over the behaviors of organized religions.

In short: For a lot of people that I know and myself, religion is far less believing that God is going to help you in some way (frankly, if you know your Bible, you know God's help tends to come in rather rough and leaves a lot of things broken so you don't really want it anyway) and lot more in believing that it's just a nicer universe to live in if you assume that you simply cease to exist at the point of death and there is nothing but...well, nothing awaiting you over that line.