To get back to the original point of why would one willingly choose not to believe that one will continue to exist after death, my reason is complex, and, honestly, I am not sure I could know my own reason entirely without some serious meditation (I meditate every night, but often not on this), but I can break it into several parts.
1)If you look at my signature and under picture text, you will notice the phrase "That which can be destroyed by the truth, should be". This is what I live by. Even if a belief in an afterlife would possibly be comforting, I really do not believe it is true. The science doesn't support it, and no one has shown me any proof that it does.
2)I feel that if you think the life you are given is all you get, then you are more likely to live life in a fulfilling way. I am the happiest person I know.
3)Assuming that there is a religion that is correct, then statistically it is either Christianity or Islam that is correct. As someone who is Atheist, but also Jewish (you can ask me to explain that later) then if there is an afterlife, I am going to hell. I find my days go much better if not worrying about eternal damnation. However, I also realized that, if hell exists, it will be full of fun people... like scientists and musicians.
4)I do have beliefs that can take the place of the supposedly comforting belief in the afterlife. There are 2 things I believe in strongly, that do the job nicely.
a)"That which can be destroyed by the truth, should be" When living my life, I try to avoid joining teams. I do not support factions; I support the truth.
b)"That which has existed, always will have existed" I do not need to believe the unprovable statement that people will continue to exist after their physical form is gone, because I have a logically unarguable statement that I find just as comforting. Every event that has happened, always will have happened. No one can argue that.
Everything that existed, will always have existed.
It does not matter if there is no record of it, It does not matter if no one remembers it, it does not even matter that there are no traces of it left; It existed. It happened.
One day, when the universe has either succumbed to Entropy (as this forum has) and gone into heat death, or given into Gravity and re-collapsed into a singularity, and the universe is completely unrecognizable, with nothing even remotely resembling our current world still in existence, our world still WILL HAVE EXISTED. Nothing can take that away, and it is logical fact.
I know it may sound like I believe in a different kind of afterlife, and you can call it that if you really wish. But I believe that would reflect a mis-representation of what I think. I am not claiming there is some kind of celestial book that contains the History of the Universe. Nothing like that. Just the simple logical fact that the past happened. Even if time can be re-written, such that the events really never happened, then, one level up, it will still be history that it happened and then got erased. (People who have read GEB will likely know what I mean by one level up).
This is what I cling to instead of an afterlife; I cling to the logical fact that, while people, events, objects, etc. can be erased, nothing can change the fact that they existed. I don't think they continue to exist in some form, but I KNOW that nothing can change the fact that they were a part of this world.
I cling to the truth, and I cling to the the fact that everything that has happened, always will have happened.