Historically, we humans have used religion to help cope with that which we cannot explain or control. Way back when, it was just about everything - the weather, food, sickness and disease, etc... Now, we have enough science to undertand the weather, how to grow crops, and how to prevent and cure many illnesses. The one thing that we still cannot explain or understand to some extent is what happens after death. And no, there is no verifiable, unfalsifiable "proof" for what happens after death. So, to use a term such as proof in an argument about religion is futile. Some indiviudals may have experiences that they claim to be evidence, but nothing about any man-made religion has been proved.
And yes, it can be very frightening (and disappointing) to accept that we actually cease to exist after death. So, religious beliefs help many of us psychologically - they help us cope with all fear and uncertainty, includind death. Most man-made organized religions sell certainty, especially those versions of religion that we practice in the western world.