That's because, according to neurobiologists, being highly social creatures, our cognitive perception and processing is biased towards agents (i.e. an entity capable of action) rather than physical objects. Add that to other cognitive flaws in our crudely evolved intelligence, such as the habit of our pattern-recognition system perceiving patterns even where none existed, resulted in Humans being more prone to employ agent-based reasoning and more likely to believe that there is a supernatural will and cause behind natural events than a purely natural explanation.
Add that with a lack of scientific understanding of the world in the old days... well, one could see where this is going.
Well Einstein said that "Imagination is better than knowledge", but in the wrong hands imagination can bring forth quite some deadly mistakes. If I see the rate that science and knowledge progresses now in the free world I often wonder how far we'd be now, if there wasn't anything like religion or the dark ages. We would have had smartphones, computers, vehicles centuries ago, and all other things we know now would have already be invented, nuclear technology, particle accelerators, spacestations, traveling to a different planet in our solar system would be as easy as driving to the supermarket and we'd probably already begin the first travels to another solar system.
I mean the Ancient Greeks already spoke of the smallest elements of which everything was made, off course they where just filosofising and there was no proof because you need an elektron Microscope to see atoms and such, but they where thinking about it, theorizing, questioning the very nature of things.
After that we where kept dumb and ignorent and had to struggle to survive religions, witchhunts, persecution, and all the wars that came of it. Only now do we start to understand things and yet still we are fighting religious wars, or oil wars that have been given a mystical religious undertone to justifie them.
you know i was still a christian when i saw that sketch .. i look at the irony now that other than art (well art after the dark ages cause the church hated art not about god before then ) religion has not given us anything useful