Because the entire concept of faith (in most religions) determines that if you stop believing you've already lost all hope. That, and humans are naturally afraid of change.
People believe what they do not entirely because of it explaining the unknown anymore, but because it's become a cultural norm and faith reinforces this fact that they shouldn't stop believing just because science or other such logic based things go against their canon doctrine.
Just because first world countries have many logical advancements, doesn't mean everything and everyone in it will revolve around said logic.
Religion has it's place in society with such deep roots that taking it away now would basically require the entire disprovement of all dieties, ever, and even then some would attest to such logic as as a mere test from their god.
It's not going away any time soon.
I typed this on the fly so expect for it to come across as stupid.
tl;dr: humans dont like change, have too much faith to give up now
