Most of them know that they are trying to prove something that doesn't exist. They are insecure. Few are exclusively religious talking us into believing their faith claiming theirs is way superior than any other and moreover, 'genuine'. Can't they just appreciate the fact that we are not interfering with their beliefs and so allow us the same privilege? Unfortunately, they can't! In some many ways they can't be blamed, in so many other they can't. I guess they just get all the more influenced.
Leaders require minions who follow their lead in order to maintain their power base. Religious leaders have brainwashed their minions to "take it personally" in order to control them, and promote them going out into the world to brainwash others. This is how the "men of god" maintain their power base.
Religious belief among reasonably-educated adults living in the modern world requires some sort of active groupthink. Sermons and church attendance vigorously reinforce and maintain it.
Since so much of the Christian premise is contradicted by science and secular humanist ethics, believers must actively counter an entropy of doubt that naturally occurs from their exposure to the real world.
This groupthink bubble is easier to maintain the more seamless the community of believers. Our atheism is like a needle floating around that bubble. They’re like the adoring emperor’s court in the Hans Christian Andersen tale – and we stinking little atheists are like that kid in the crowd, pointing out that the Emperor wears no clothes. We are a serious threat to their entire self image.
Fear and/or surprise.
Fear: if belief in the spiritual/supernatural is a significant focus of their lives, they may see you as undermining that in which they feel that they find ultimate meaning.
Surprise: it may not have occurred to them that relatively normal people who have no belief in gods actually do exist.