The same impulse that makes us seek any bigger explanation is what drives the question of religion, namely, what is the relationship between consciousness and reality? Do we create it, does it create us... do we survive it? What and who are we? How did it all start?
We know nothing, and I mean nothing, about the cosmos in which we exist. All of our theories presuppose a matter/energy division already existing before the whole thing starts, even in nascent form. People often turn to religion, including the supernatural/metaphysics, in order to explain this.
To me, there's an additional question: religious people seem happier and more purposeful, and intensely religious societies seem to "thrive upward" more (unless they pick a truly backward religion, or are of lower average IQ, and those two go hand-in-hand). Why not religion? It seems to work. It could be true. It would be nice if it were true. Then the only question is how to discipline religion so it does not engender destructive egoism and thus, liberalism, the killer of societies.