Because man needs to believe we are here for a reason, a divine purpose, that we are something more than we actually are.

As Muscara stated in ancient times higher powers were used as a way to explain natural things that man did not understand. Why the wind blew, why one ship survived at sea when another perished, why one man survived the plague or disease and another didn't, etc. It was also a way to remove consequences from man's actions in ancient times. If it was destiny, if it was the will of the gods, if it was out of man's hands then they couldn't be responsible for what happened now could they?

As civilization "advanced' and religion became a more structured institution it also became a way to control a large number of people. I have often said that the only way to control a large population is through hope or fear. Religion combines both and has proven extremely effective at controlling large numbers of people throughout history.

By creating or fostering belief in a higher power or divine essence a few individuals, those who speak for the religion in question, have been able to exert power over large numbers. They have done this by both offering hope of something better to come and preying on fear of damnation or turmoil if you do not follow their rules. By having an all knowing, absolute power wielding divine entity at the forefront it becomes easy to instill the thought of being ever watched, of knowing what is in your heart and mind and such

It would not work as well if the supreme power was simply Joe from down the road who watched the street with a telescope. There needs to be a sense that you cannot get away with anything, that nothing can be hidden either physically or spiritually which means the entity in question must be divine or have absolute power.

A lot of people would also like to believe that there is something greater than themselves looking over them, or looking out for them. This gives mankind comfort. Additionally to know that your actions are not being wasted and will in fact be rewarded at a later time is a powerful motivator as well.

Since man first evolved and began to think there has been a never ending search for purpose, comfort and a sense/desire to be better than what we are. For many that search ends when they find a higher being, with absolute power/knowledge that can give them comfort and meaning in their lives.