Well... Yeah. It wouldn't be called "faith" if we had undeniable proof. The whole thing about faith is taking a trust fall and believing in something you can't see.
Having faith is certainly not the easiest thing to do.
It's always been in human nature to write and preform stories. As a kid, one would have imaginary friends or would often play pretend. As we get older, our fascination with the make-believe world never stops. It only matures as we explore other mediums like art, authoring, role-playing, and even acting.