We all become reluctant to admit defeat at one stage or another. When there has been so much effort put into something that now seems illogical, giving that thing up is hard.
I did this when leaving religion behind. The reluctance I felt to leave religion was not because it was a superior belief system, but it was a system I was used to. The longer we stick to a certain path the harder the desire is to turn around and walk back.
Although there are many people out there that choose to believe because a religion seems believable, I know there are vast amounts of people that stick to belief for the ease of it. It isn’t a loss or a failure to leave behind something you no longer feel confident in. If anything the failure is to keep walking down that unrewarding path.