They only know what is likely and what is unlikely. And religion seems very likely to be a lie, so they are not religious.
A lot of things will happen when you die, but none if it involve your experience. You will just not exist anymore.
It is hard for someone who was only ever being aware of him existing to imagine what it is like to not exist, but there is simply noting to imagine, it is not an experience.
Just like when you go to sleep and wake up after hours and don't remember any of it.
If it is hard for you to imagine that you don't experience stuff, then don't think about it, it really isn't important. You can imagine whatever you want, as long as it doesn't affect your actions now, it really doesn't matter.
No atheist is a greek word word which means ''without gods'' so its incorrect to assume that an atheist believes in nothing at all or that atheism means to believe nothing at all.