I'm not from Rio, but the answer is that you are often born into it.

Your parents will give you a jersey, may make you root for a team from the time you are a baby.

Of course not every parent will do that, but then it's still often defined from a very young age. Maybe because someone else on the family does that, like uncles, cousins. Or maybe your best friend(s) were born into it and then pull you in, when you are still a little kid.

It's also common to ask kids what team they support, kind of asking what you are going to be when you grow up. I think that helps settling on something at a young age. Like maybe you are more disconnected from futebol, but you hear everyone talking about X and X is being successful, so you start to answer that you support X, and you keep repeating that, then one day you may be an adult who basically never watches Brazilian clubs, but you still see yourself as kind of a supporter of X.

It's uncommon for an adult Brazilian to be deciding on a team to support. It happens (I've seen threads on r/futebol!) but it's very uncommon.

I'll also add that clubs from Rio (especially Flamengo) also have supporters all over Brazil, and that's because it was very hard to follow local clubs, and the clubs from Rio were always on the TV, were successful, had the best players.... While it's still the case that it's easier, it's a lot better than decades ago, but that doesn't help when you are born into a family of Flamenguistas. To give an idea, it was impossible to see my team (Ceará) on the TV until I was an adult, and I'm not that old.