At a deep level, they know that they could improve their lives, but that would mean rejecting their beliefs about themselves. Most people are simply not ready to do that, regardless of the pain that their beliefs cause.
We do not understand why we are here. Ask people, and they really can’t tell you. We go through our days doing the best we can, with little connection to our sense of purpose.
On one hand, what we do doesn’t make sense. The “other side” holds the promise of peace, contentment and general well-being. Where we are is a place of stress, pain, unhappiness and general discomfort. Sure, it has its moments, but it doesn’t hold a candle to the “other side.”
Why do we pray? Sometimes, we pray to get help for things we have no control over, like the illness of a friend or other things outside our purview. Then too, sometimes we pray for relief from a situation we have created.