When we pray, we express many things. At the very least, we affirm our belief in a higher power watching and listening. And when our prayers go beyond praise and thanksgiving, asking for intervention, we are assigning it both will and the power to act, affecting events in our world.
So pray and believe, because we need gods. They add meaning to the world, and they remind us that we can be held accountable for our actions, even when nobody else is watching. They are watching, and they care what we do and why.