If I had to sum it up in one word it would be - Conditioning. What we believe and why, are basically laid down early in our lives. Religion and it’s accompanying belief in the supernatural is largely an accident of birth. Some of us are lucky to be born into families with enlightened views, and encouraged to think for ourselves and are allowed to formulate our own opinions based on a wide body of knowledge and scientific fact. Those born into religious families are instructed in a belief of a supernatural being from their earliest years, and that sticks pretty much with the majority of them. Some begin to question this as they get older, and find the evidence wanting, they usually end up first becoming sceptical and then either agnostic or atheist. Very few atheists, if any, believe in anything supernatural.

Some people are capable of thinking rationally. Some people are incapable of thinking at all. Yet others lie somewhere between these two extremes.

It is fun to suspend disbelief for a while when reading or watching fiction, however when people start to allow their enthusiasms to encroach in to real life, and become so dependent upon their fantasies that they will defend them to the death, those people have become mentally ill.
Religion will exploit that illness mercilessly because it is a twisted evil bushiness, and will encourage sufferers to not only not recover, but to embrace the delusion and increase their customer base by proselyting.
In time then religion becomes the socially acceptable madness

I've met people who believe that they have encountered supernatural beings, even otherwise rational people are shaken when this occurs to them. Then there are the other silly people who believe in angels and leprechauns and unicorns, even though they have never personally experienced such a fanciful supernatural being. There are also people that deny the existence of anything unusual existing outside of their rigid paradigm, regardless of what they have personally experienced.
People are very strange.

Gee, I dunno, why do some people Llluuuuuvvvvvv drump?

Some people are stupid.
Some people are kinda stupid.
And some people are smart.

I think humans evolved as animals that gathered in groups for safety, and the animal instinct to gather in groups is innate for many people and being a part of a group makes them feel safe and secure. Religion provides a sense of belonging to a group and it makes people feel safe. Some people will totally abandon logic and common sense to maintain that feeling of safety. Ironically, their animal instincts developed from their evolution is what makes them so attacked to their religious beliefs.

It should be blatantly obvious, we're trained to use magical thinking.
From the Tooth Fairy to Santa to Disney movies it's all magic all the time.
Heck even Spock could do magic of a sort, and there's more magic in Star Wars than in Harry Potter even though some people think it's science fiction.
We have attractive witches and genies and vampires with their own TV series.
And that's just entertainment.
Then we have people that are willing to fly planes into buildings, and throw acid in womens faces for breaking taboos. We have people that would love to kill the last few abortion doctors with legislation or bullets they don't seem to care much which way.
War, poverty, overpopulation and disease are all enhanced for being(s) that no one has ever seen, from fables originating at the dawn of civilization.
In the face of all this it's no wonder it's taken so long to solve our problems.

The human brain (AKA God) works in mysterious ways.

Faulty logic and reasoning along with no solid evidence. If you do not have evidence the subject is not worth debating. Many people approach this as "what if." Sorry, that's not good enough.

Some people are supernatural beings, others have experienced supernatural beings and some wouldn't know what supernatural is even if it slapped the ever living holy shit out of them.

because Critical Thinking is sorely lacking in our school systems. Fortunately some people are exposed to a different way of using their mind sometime in their life.

Your brain is a muscle (I know, I know, not exactly, but stay with me on this; it's a bit of a metaphor).
If you exercise it regularly, it will perform properly, and keep you out of trouble. You'll be able to identify predators, connect cause with effect, and reason to the extent is necessary in your daily life and hopefully, in less mundane activities like mental enrichment and self-actualization.

If, however, you don't exercise your brain — and I mean more than simply puzzles and memorization, because those help but aren't the workout that is necessary for intellectual fitness — you can fall into the habit of resorting to belief over reason. I think of this as the mental equivalent of laziness, or slovenliness.

People who are brought up, from childhood all the way to adulthood, in families or even societies where unquestioning belief is valued and promoted above and beyond reason stunts growth in those brains. I don't know if there is a physiological measurement that can reveal anatomical differences, but there are certainly behavioral differences. People who value belief over reason are not troubled by inconsistencies, even in apparent facts, because belief doesn't require proof. On the other hand, people who regularly question beliefs and authority have the extra mental (and sometimes social and physical) burden of doing it the hard way, but ultimately may do better in the long run.

Are we limited to the mental habits that are encouraged by our upbringing? I don't think so, but as most will agree, it's harder if you don't have those habits and attitudes in place already. One can overcome (and I'm obviously using a loaded word there) a childhood of extreme indoctrination to either religious or repressive views of the world, but as one would expect, it's harder to wage an uphill battle against ingrained habits and attitudes.

All of that said, I think that religion, to a large extent, along with the belief in the supernatural, are all of a piece here. They are instances of belief chosen over reason or inquiry. It's easy and even attractive to think that there things like angels, demons, ghosts or other unproven, unverified entities, especially if you are in the habit of suspending judgment on a regular basis.

People believe in supernatural beings because they are taught. Some of us are born skeptics. I never believed in an invisible god. I stopped having imaginary friends at age four.

I am reading a memoir by Vietnamese immigrant Le Ly Hayslip, "Child of War, Woman of Peace." Growing up in Vietnam, the most important feature of her parents' village home was a deep bunker. This was to help the family survive bombings by the French, followed by Americans during the Vietnam War.

At age 15, she was raped by two Viet Cong soldiers, forced join the Viet Cong army, and marry a Viet Cong soldier. Like soldiers, she has PTSD.

Twenty years later, as an American citizen in California, she still believes dead relatives haunt her as ghosts. She claims that she sees ghosts of relatives. She pays Buddhist priests to banish them.

I think the reason some people believe in these things is that they feel a need for simple answers, are uncomfortable with complexity. So, if something happens that seems otherwise difficult to explain, well, "It must have been God, or the Devil, or a demon that made it happen."
I recently read that former SCOTUS judge, Antonin Scalia, was a firm believer in hell, and the Devil.
Bishop Paley, who, I believe is the one who devised the metaphor of the "Watchmaker," in discussing the supposedly miraculous presence of the human eye, might be excused, because he lived at that time of ignorance about so much of what we understand about the world, by way of the scientific method. But, Scalia is contemporaneous with many of us; he was only a few years older than me. I have living cousins older than he was.
Also, often when people are raised "In the faith," it makes up a big portion of their self-identity, which is hard to relinquish.

They want answers why something seemingly so incredible as us are here, no evidence for it, and some don't want to assume one way or the other.

I've questioned this myself at some length over the years. Here's what I've determined.

So many of the mysteries of the past have been exposed and they usually turn out to be pretty mundane. The Loch Ness Monster has been proven to be a myth, the Shroud of Turin has been proven to be a forgery, ghosts can't be proven at all because they're just not real, every "sea monster" carcass that washes on shore somewhere in the world always proves to simply be the remains of some prosaic animal so what we're left with is a world without any supernatural wonders.

People want there to be unexplained things to engage their imaginations. It helps break the monotony of everyday life by injecting something wondrous into the banality of a lifetime of working, paying the bills, raising the kids, etc... The ignorance of ages past worked in favor of the supernatural but the trouble is, as science advances, the things that were inexplicable 100 years ago are no longer inexplicable today. Science has proven the supernatural isn't really a thing so if reality won't provide these mysteries and amazements then people will fill that need with imagined one that they're eager and willing to believe in with no further proof.

its not a rational subject its more subjective and we are conditioned by parents to believe what they do

It all comes down to what they were taught as kids, what they have been able/willing to logically reason for themselves, and their fear of death and the unknown.

Brainwashed

Why some people believe is they live in an echo chamber that rewards it.

Why some don’t believe, they see the holes in the echo chamber, or don’t buy into the premise at all.

Why some are on the fence is they are not confrontational or don’t care enough to push the point.

All of course in my humble opinion.

For believing. Thats easy. Stupidity.

For not believing. An understanding of how reality actually works.

For those that can't make up their mind....hmm. gonna say mild schizophrenia

The cause is a severe mental defect that afflicts every single human being: complete and total ignorance of everything at birth.

I don't really know, some times I do, sometimes I don't, sometimes I can't decide.

The more I learn about the various processes of evolution, the more I understand why everything is exactly as it must be.