Why are there so many Gods?

Easy - because they're all ad-hoc placeholders for mystery and structure in a confusing world. They just evolve over too long a time span for those living to notice the drift and call shenanigans.

Consider - truly consider - what it was like to be born, raised and then die in the ancient Egyptian empire. You would be devoted to the Gods popular at the time. The pyramids stand as proof that these people were devoted - perhaps to levels we cannot understand. Hundreds and thousands of years this went on - Longer than Christianity has been around!

Now consider how you would know, had you been there, that those Gods were all figments of imagination. You wouldn't. How, then, can you know now that our current conceptions are any more real?

You can't.