There are some movies that I watched that seem very unfulfilling at the end. It seemed there was some kind of a story line that just stops with loose ends and questions. Being unhappy with that, I go away wanting/expecting a little more.
Everyone has watched a movie like that at some point.
That is where the need for an afterlife seems to be.
It lies in the same sort of wanting/expecting a little more.
Religions utilize this but it doesn't take religion to feel this.