If there is an afterlife...

[Anomalocaris]

I might argue that when the ability to conceptualize self first evolved in the brain of some ancestry of ours, it was a primitive planning aid for instinctive use when deciding how to conduct ourselves when alive. It didn't need any facaulty for conceptualizing any state where the self ceases to exist. Only later when more rational thinking ability developed did we acquire the ability in a different part of our brain to reason out what might happen to self when we die.

So if we fall all the way back, through our rational thinking facilities, to the pimitive part of the brain where concept of self first developed, we find it unexpectedly hard to intuitively conceptualize the nonexistence of self. We rationalize this difficulty with afterlife.