Thousands of years ago, humans were beginning to question their existence. They didn't understand the concept of death (we still don't) and thought that there must be an afterlife. Not only that, they also assumed that a god existed. So, they created religion with no proof except for their imagination. Hallucinations were thought to be images of god and mental illness were thought to be possessions. Religion is still popular in many places in the world. Humans were evolved to be superstitious, which is why we don't see animals worshiping gods. It's also the same reason why god was fine without worshiping millions of years ago. Why? Because religion is a man-made concept. Believing in a religion wasn't a choice back then, it was mandatory. If you didn't believe in a certain religion, then you would be killed and your killer would face no consequences. If you attempted to leave the religion, then you would be harassed with eternal torture. So throughout generations and generations, parents taught their kids about their god and their kids also told their children about it. What makes religion so different from Santa Claus, is that people still continue to believe when they grow older. The concept of god is too hard for a human mind to comprehend. We know that every religion is false, but we don't know if there's a higher force that's controlling everything. If there is a high force, then it sucks at controlling the universe. Having natural disasters everyday on earth? Come on man.
“If you tell a lie big enough and keep repeating it, people will eventually come to believe it" - Joseph Goebbels, German Propaganda Minister

tl;dr

^ humans began to question their life so they created religion from their imagination. Throughout generations, parents told their children about religion.