What's the problem with it?
Religious people don't sit around and think about God. (Well, they do, but not in the causal way you put)
They are indoctrinated from birth, and that's why they believe. When their family, their friends, and their community all believe in this religion, they are very unlikely to have any desire to cease their belief. So when something comes along that challenges their belief, they stand strong, because to acknowledge their belief is wrong does the following:
1) It means that all those people are wrong.
2) It means that all they've believed so far has been wrong.
3) It means that they will now become alienated from those people.
Is it truly any wonder that they are so resistant and shut down in the face of religious debate? There's nothing to be gained from something that can do the above 3 but give nothing in return (perceptually).
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Now to be fair, I have applied the same criteria for myself and atheism, and while it still holds a bit true, it isn't as strong in my opinion. I
would become alienated and somewhat ashamed in my family if I started to believe in "fairy tales" and "delusions". However, most of my friends and communities aren't necessarily based around my atheism.
When I interact with people, I try to not touch the subject of religion at all (and I bet other atheists do this as well), and I generally don't associate with communities that would be simply as a matter of atheism (like churches on the other side). If I change my religious stance, I don't have to think that most of my friends will be thinking or telling me "But what about Jesus? He has loved you all this time, and he has offered you salvation, and now you turn your back to him??".
It's a bit more fickle when you're religious and you're integrated with everything. I've been to church, and I've seen how nice and close they are to each other. That makes it harder to break off, but most importantly, make it harder to even
think of breaking off, or contemplate something that would
imply that you might end up breaking off.