Hmm …

… Belief in immortality hard-wired? Study examines development of children's 'prelife' reasoning -- ScienceDaily.

Why would humans have evolved this seemingly universal belief in the eternal existence of our emotions? Emmons said that this human trait might be a by-product of our highly developed social reasoning. "We're really good at figuring out what people are thinking, what their emotions are, what their desires are," she said. We tend to see people as the sum of their mental states, and desires and emotions may be particularly helpful when predicting their behavior. Because this ability is so useful and so powerful, it flows over into other parts of our thinking. We sometimes see connections where potentially none exist, we hope there's a master plan for the universe, we see purpose when there is none, and we imagine that a soul survives without a body.

There is also the possibility that the belief corresponds to reality.