For most they are reluctant to give up the religion of their childhood and family. You have to remember the number one (positive) thing that religion provides people is a sense of community and belonging. When a person becomes aware of who they are, they want to be accepted and continue to belong.

Personally, I asked the Mormon church to excommunicate me. So, I myself didn't want to continue to belong. However I did feel the loss of community when leaving religion behind.

Humans are herd animals. That means as we evolved we learned to gather in groups for safety. We still have the desire to belong to a group, and belonging often makes us feel safer. It it our animal instinct(s) still at work.