Because of their ego, pride, arrogance, and fear. Part of which is a projection of their innermost fears. Does Hell exist? 

If you believe it does. 

I know that might seem like a cop-out but it’s true. Your belief creates your reality and consequently Hell is not a place but a state of being. If you believe your life is living Hell evidence validating your belief will manifest. 

If you believe that you will go to Hell after you die you will manifest a Hellish like realm for you to experience, there. This is the most dangerous aspect of this particular belief system.