Here is an interesting article from Talking Philosophy Magazine. The author discusses the similarity and difference between religions faith and scientific faith. I believe it is often taken for granted that much of what we know about the natural world does not exist in the strict sense; all that we truly know is the outcome of an experiment. Theoretical models, such as the concept of protons and electrons or the theory of gravity, create entities or concepts that don't actually exist in the same way that a ball or dog exists. They are simply mental constructs that are used to explain repeated experimental outcomes and predict future behavior.
Of course, one can always argue that these constructs are "true" in the sense that they are predictive and can be tested as opposed to religious concepts. But I'm not so certain that their predictive powers and testability prove that they exist. "Truth" and "existence" seem to be two separate ideas here. So, in some sense, all of us, whether religious or not, believe in things that don't exist.