I think the answer is pretty simple: Fear. As you say, the Universe will exist as it always has after we are gone, but that doesn't really matter, because we aren't the entire Universe; we are only conscious in one part of it. We are afraid that, when we die, that's it; lights out, no more life, oblivion. As a species, we can't comprehend that. About the closest most people can come, I think, is to imagine that they will be floating alone, forever, in blackness, which isn't that comforting a thought. We can't imagine what it would be like to not have consciousness, because the only thing we have to imagine that with is consciousness; hardly an appropriate tool. And, since we can't understand this concept, we fear it. It's instinctual. What we don't know could kill us, so we've carried that fear over to after we are dead. So, instead of oblivion, we've come up with afterlives that we can imagine, and like.
This fear could very well keep us from making the right decisions, but it also helps us make good decisions, at least from the point of survival; if we have no fear of death, we aren't going to defend ourselves as well. The thought of a desirable afterlife also adds meaning to the life we have now; we have something to look forward to, to work toward, something to keep us going when life gets hard, instead of just giving up.