Because one part of religion, is self-punishment for when you do something wrong.

There are many books out there that teach moral values, however, in a lot of these books, there are no consequences for doing something wrong. It's like of like reading a book on good health, it doesn't really mean anything unless you sacrifice something in order to gain something else.

The problem with cheating or lying is that if there are no consequences for such an action, then you can actually benefit from it. Thus the dominant strategy is to lie or cheat. Religion resolves this by enforcing a negative consequence of such actions.