I believe if you believe in something or, let's take for instance you go into a demonic location and you have a lot of fear: that fear within your body, within your mind, is like chum in water attracting a shark. They feed off our emotions. These demons also will influence and inflict malice into a living person because that's how they feed.
Religion provides the only story that is fundamentally consoling in the face of the worst possible experiences - the death of a parent, for instance. In fact, many religions take away the problem entirely, because their adherents ostensibly believe that they're going to be reunited with everyone they love, and death is an illusion.