Also keep in mind that ancient religions don't always match cleanly with what we expect out of modern ones.

Especially the idea of deific exclusivity. If you have always believed that your gods and your neighbors gods are different and war with one another just like you and your neighbors do, then maybe they lost along with you.

Plenty of stories about gods dying, probably feels better that your gods died trying to save you than ran off and abandoned you.

Just one speculative example, but no one today would assume that a personal problem is because their religion got annihilated, maybe not so much with all the numerous past belief systems.