This is a pretty broad question, it really depends on what you mean by "believe in religion":
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Believe that a particular holy book is literal, historical truth.
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Believe in the moral teachings of a particular holy book and follow its practices.
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Believe in the existence of a universal higher consciousness (God)
1 is a vocal minority, and the reasons have been sufficiently explained elsewhere in this thread.
2 is much more common, and can derive from a number of reasons. Cultural identity generally determines which holy book (and interpretation thereof) you follow, but the attraction to moral framework is deeper than cultural identity. Having a set of guidelines to inform moral behavior, and a method of alignment and focus (prayer) is very valuable.
3 is a metaphysical consideration, and pops up even in 2024 because consciousness is still a mysterious phenomenon. Every explanation leads to roughly the same conclusion: if consciousness is an emergent property of complex interconnected systems, then it stands to reason that the most complex interconnected system (the universe) is more likely than not to be conscious; if consciousness is some external force that complex systems can "tune into" like a radio, then it stands to reason that "consciousness" permeates the universe; if consciousness is something else which defies scientific description, then it stands to reason that there exists some agency to dictate the rules.
Those are, broadly, the rational explanations of consciousness of which I'm aware, and they all imply a universal consciousness of one variety or another. If you can think of another I'd love to consider it.
If you meant something else by "believe in religion", let me know.