i was devestated when my parents admitted to me that santa didn't exist. i tricked them into telling me, i found the truth (and was happy for a split second coz it was HA! i'm right), but i was so sad at the time when i found out the illusion wasn't true...
that made christmas time less and less special to me as i grew up and now it's just another day but a great excuse to get family together, but that special feeling is gone....and so i guess that's how religious people feel but much more profoundly due to the nature of the religious belief system....it's not just one story....it's many many stories with meaning to people that gives them strength....you might say they don;t need that but i believe they do, the mind is very powerful, the placebo effect proves that.
and don't forget so many charities were born out of religion