Mostly because since ancient time we have looked to the sky or “heavens” as a source of wonder and astonishment. There was a point where anything natural like lightning or rain would be associated with some kind of god. The fact that we could not explore the sky until very recently is what added to the illusion. Humans are very keen to jump to conclusions when we don’t understand something it’s a kind of defence mechanism for understanding our “place” within this realm. It was easier to assume god was watching and judging from a place we couldn’t reach.