A big reason people don't create their own religion is because a large chunk of theists automatically believe what their parents believed in. Religion is passed down from generation to generation like bad genetics and the cycle isn't broken until someone dares question the garbage they are fed. Considering religions like Christianity have the fear element, most people are afraid to even think outside the box out of the lingering belief that god might roast their soul on an open fire if they do.
Even if the open windows of science at first make us shiver after the cozy indoor warmth of traditional humanizing myths, in the end the fresh air brings vigor, and the great spaces have a splendor of their own - Bertrand Russell