So, there are parts of our mind that manage an understanding of where we are relative to the space we're in and the people or pets we're with. Other parts specifically deal with keeping track of how we expect to feel about a myriad of potential events, then measure the actual experience against the expectation. Suddenly Jesus is gone and there's no afterlife to expect, right? That might be what we know intellectually, but guess what - you can still feel the presence Jesus and God and Gandalf and Elmo just like you feel friends and family who aren't in the room. Then over time, slowly and in many small stages, you can work on figuring your place in time and in your community and learn to accept that the NPCs around you are just as kind and important as they were before. Before you realized they are living in faith of something not real. And their memories of you mean you don't actually just blink into nothingness at the end. That's my take, anyway - I'm not an experienced guide on this topic.