I think the simple answer is that we don't follow pagan religions because our parents didn't. Most religious people prescribe to the religion of their ancestors. Some will claim to have studied many religions and picked one, but I think even most of them end up choosing the religion they learned of as a child.
As to why our ancestors chose to follow the more "modern" monotheistic religions rather then the "ancient" polytheistic religions we could probably debate that until the end of time.
Dave Kerwin and friends will say that it's because the fact that their beliefs are based on writings of people that claim to have been eyewitnesses to the events on which the beliefs are based, whereas the ancient religions are based on legends of things that happened before the age of recorded history, or that happened in some "mythical" place beyond the view of humans . To them that makes their beliefs more credible and believable.
84Scrambler and friends will say/said that all religions are mythical legends, and that the only reason "modern" religions are more popular than ancient religions is that the religions that wrote nifty books, and marketed themselves better, sometimes with the point of a sword or gun barrel, became the dominate religion and the other simply died out as a result.
Me, being the extreme moderate I am, believe the truth is somewhere in between.