People believe what they want to believe because it makes them comfortable. That's what faith is all about—a self-derived comfort from a conviction that something is true, like saying "I am saved," or "he is in a better place now," etc. You can't prove it false and you can't prove it true, even if it seems fantastic. You can either accept it or reject as a matter of faith, but never as a matter of fact.
Certainly, you can believe what you want and many people believe things based on feelings. I believe because the evidence points in that direction.
Can you think of any rational reason why disciples who claim to have seen the Risen Jesus happily go to their death with this testimony? Mass dilusion? Fame and fortune? Book rights?
I would have to have much more faith to be an atheist.
Myth. There is not a single documented martyrdom account of any of the disciples. But you accept the story as a matter of fact, or so it seems form your question.