>>> Makes me often wonder who they are trying to convince most, us or themselves...
I think you hit on it here... and I think it is both, and it clearly is related to pride and false security.
God says that where your treasure is, there will your heart be also... and if a man invests his entire life in what later occurs to him to be a false religion, then the pride of his folly is that much harder to swallow... and he will find it easier to brainwash himself into believing the lie than to humble himself in favor of the truth.