I can give a huge number of reasons.
1) I am interested in what everyone does. I want to understand the world, and religious convictions are an important part of the condition of the world, both historically and currently.
2) I honestly want to find God. While there may be some exceptions to this rule, many atheists would vastly prefer that a God exists -- a God which cares about us, provides an afterlife to the devout, and so forth. Instead, I believe I live on an unremarkable planet, adrift in a vast universe without any real purpose. I desperately want to believe in a God, but not simply because it's warmer and more convenient to do so.
3) Theists, in aggregate, have an extremely strong effect on the lives of atheists. The world has been shaped in enormous ways by religion (countless wars have been fought over religious conviction, cultural mores exist as a consequence of religion, etc), and so it's impossible to be an "individual atheist." I am not an island. Religious people affect me whether they intend to or not.