There’s no obvious answer for that – it may be because of a need to belong to a group they feel they can relate to or they may be dealing with some very deep issues in thier life like some form of abuse, but it’s probably not as simple as that.
Probably because they see the devil as powerful, and people often want to be protected by something more powerful than themselves. As children our patents look after us. Adults are “looked after” by governments (for example, social security and pension, the “welfare state”), and in the past it would have been other types of leaders (chiefs, kings/queens, feudal lords). So, there is an inherent human need to be looked after
Why the devil, in particular? Its hard to say – perhaps it is attractive to many people because it is a form of rebellion – rebelling against the beliefs of parents or mainstream society.