But it's not about pride. This trick only works if you deliberately exclude at least some premises from rational scrutiny, which is basically what religious upbringing does. But if you grow up irreligious and learn to ponder everything, it just doesn't work out because the holes are so glaring.
Besides, if at least there were one religion to choose from, then I could see making a form of Pascal's Wager on that, but as it is, there's simply no obvious reason to me as to why I should prefer Christianity to, say, Islam - or, for that matter, something like Asatru. True belief requires a certainty that anything contradictory to it is automatically false, but if I were to accept the premises necessary to even consider Christianity, then by those same premises those other religions are no longer obviously false.