Reminded me of a song called Locking up the sun by Poets of the Fall! xD
Anyway, part of this is because of the religious teachings, where people depend on a holy being to save them and protect them from evil.
People, generally, need a person, or atleast the idea of a person or a being that is able to help, protect and save them, it's our way of feeling safe.
As children, we used to look up for our parents for protection, when we grow up, we start noticing that our parents are humans just like us, not super-creatures who can protect us from everything we go through, so we start searching for a higher power to protect and save us!
That's my explaination, I hope you didn't find me too "Mfalsaf"! xD