Because there has traditionally been a lot of social pressure to conform. This is true in most countries where people, social creatures, want to be part of the in-group and therefore at least profess belief in the accepted social mythology. For many, and perhaps most, they really only view it as a social tool, studies show time and time again that most people who profess Christianity in America don't have a clue what it is that they're supposed to believe beyond the most basic platitudes they hear on their occasional ventures into a church. They might own a Bible but they never read it. I'm sure this is true in other countries as well, especially in places like the Middle East where not openly accepting Islam can get you killed. That was once the law of the land in Europe with Christianity, before anyone starts feeling all high and mighty. However, in recent years, people have started to realize that being a Christian, or at least claiming to be a Christian for appearance sake, really isn't the panacea that they thought it was, it doesn't necessarily open doors any better than just being honest and admitting that you don't really buy into it. That's one reason for the huge increase in non-religiosity in this country. People don't have to pretend anymore.
If all of that was done for unicorn belief, you can be sure that the majority of people would profess belief in unicorns too, at least until they understood that it didn't get them anywhere and there was no real social benefit from pretending.