With a lot of folks, I think it's a combination of stubbornness (i.e. this is how I grew up, this is how my parents believed, and this is how a good person is 'supposed' to be) and not being able to handle the idea of an uncaring universe where nobody's tending the light at the end of the tunnel...and the light itself may just be a supernova about to consume your world.
The old 'being necessary to invent him' thing. I think this is how a lot of people come to the Christian faith after being non-committal or not really thinking about god. If you've ever had problems in your life, if you've ever felt like you've hit rock bottom (i.e. everyone on this planet ever) and your kindly friend says "Come to church with us" and you have a tale spun around you of a being powerful enough to fashion the universe into being, but that still cares about you and wants to have a relationship with you, it's very powerful - especially backed up with the everything the church is good at. The pageantry, the cadence of the voice the message is delivered in, and then the peer pressure of seeing other people answer the altar call. You feel like you just want to break down and scream out at this invisible being to help you, and then there's a hand on your shoulder that guides you through talking to this being. Then later that day there might be a dinner. Then there might be a study or a singles group later on that week. It's a great deal of human reinforcement built up around an idea.
That's what many people are afraid of, I think. Not losing their belief, but losing the church and the fellowship that grows out of it as it becomes entwined inextricably with the believer's life. Their kids go to the Sunday school and make friends, they have a softball team they're a part of.
This is something that most atheists and agnostics just don't do well. Our ideas may be more based in science and reality, but we don't really come together that well. Sure, there's SITP in most larger cities, but if you're in the Bible Belt like me, there's not that much to choose from. You can spit and find a church full of nice people, but when it comes to atheists the whole "herding cats" analogy applies.
So that's what we're up against when we ask someone to think critically about their beliefs. We're asking someone to risk losing a whole chunk of their social lives. We're erasing an entire line of their "Mazlow needs."
That's what they refer to in the business as a "hard sell."