Because they're (keyword) told by the Church it's right. Even within Christianity, Catholics are convinced Protestants aren't "true" Christians, and vice versa. They don't want you to go to other Churches, they want you to go to theirs. And they need concepts like hell to brainwash you. Of course, don't forget your (another keyword) money, salvation isn't free. We'd all be screaming Allah Akbar right now if the Muslims had gotten any further than Spain in the 700's.