There are a number of reasons why people remain wedded to their religions. If you're wanting to discuss the virtue of rejecting theism, then, like any proselytizer, for that is what you are when you try to convert people, you need to understand both your motives and those of the person fixed remaining unconverted.
There are a number of reasons why somebody would not wish to change religion:
1. They actually believe it
2. They fear the penalty of apostasy (reasonable since, in Islam, it is death)
3. It's a habit
4. They'd miss the company of believers who might reject them for being apostate
5. They'd miss the ritual, music, architecture and the aesthetic experience generally
6. They believe that ethics and morality are dependent on their religion and don't want to lose these
7. They'd miss the feeling of moral superiority and the buzz from believing they're part of the 'elect'.
8. The sunk cost fallacy.
Most of the above are fairly easy to understand and might be good reasons not to drop the religion - but there's no need to. You can simply drop the belief but carry on going through the motions, that way you still have the habit, friends, and aesthetics. WIth '1', you may not have made the matter clear enough, or it may be an idée fixe so you might as well give up. With 6, it's a matter of establishing that that view is propaganda, proving that, and all is well.
However, many people concede directly, or, maybe, by manner, that they're not that wedded to it for reasons 1-7, nevertheless they remain reluctant, extremely reluctant, to change. This puzzles a good many atheists who conclude that their intended convert must be terminally stupid, stubborn or passive-aggressive towards them. It may be, though, nothing more than the sunk cost fallacy.
We all suffer from it. If we buy a car, or even win one in a lottery, or any other reasonably expensive object, we soon find ourselves valuing it above other brands, simply because we own it. We even find ourselves defending its virtues against other brands when, rationally, the grounds are extremely thin.
We also find ourselves reluctant to change our mind, believing that our ideas somehow define who we are and changing our mind makes us somebody different.
Gamblers are often ruined because of the sunk cost fallacy - having lost so much money at a particular table, or game, or on a particular day, they feel that they can't 'cut their losses', but must continue to invest because the investment to date makes the table, day, or game valuable.
It is an evolved distortion in perception that is usually harmless and must, in some cases, be valuable to us. People defend their homes against invaders with considerable vigour, which is why invaders frequently fail - even though those same people could often, if they were rational, move to other places that are just as, if not more, desirable.
Somebody who has been a member of a religion for any time has huge sunk cost. There's the time spent, every day (Islam cleverly exploits just this sunk cost fallacy when it requires people to pray five times a day - that huge investment of time forces them to see the activity as valuable), or every week. Much money has been spent on the religion - after all the temples, churches, houses for priests and so forth have to be paid for by somebody. Also, if they've had doubt, then much emotional energy has been spent on overcoming the doubt and believing impossible things.
Admitting that you're wrong and throwing away years of investment of time, energy, money and emotion is difficult - you could even say it goes against a deep part of our nature.. So, when you find this resistance to change, sympathise, if you'd put that much into something you'd also feel, just because of the investment, nothing more is required, that it is valuable.
Oh, I suppose that, if you're with me so far, you'll be wondering what the solution is. Good question. It can be difficult. Gamblers are very, very difficult to cure. The starting point, though, has to be to explain the sunk cost fallacy itself. Gaining insight into one's condition is the first step to curing it.
Interesting - that's the first time I've heard of the 'sunk cost fallacy', though it's better described, as you say, as a distortion. The concept, though, is familiar enough, and we can all identify with it. And it's not even quite about sunk cost. It's like the feeling of anger and hurt you have when you hear the town of your birth described as a dump - even though you might have so described it on occasions, and have never revisited it.
But for those who regularly go to church, who regularly pray, and whose friends and families are all engaged in the same regularities, their social lives are wrapped around in religion - imagine how vulnerable they would feel with those wrappings ripped away. For them it's about more than just sunk cost, it's about their very identity.