Because they have no proof He doesn't and they are not really sure. And while, Zeus is agreed upon to be a myth, at least the Greeks had the sense to know there was more than just the physical realm around them. Although, they may not have had it exactly right they didn't deny the existence of a greater power than they. To deny God is a choice because it is within all men to know that there is a God. A person has to step over the evidence and choose to deny God bringing upon themselves a darkness they don't even know they are enveloped in.
So essentially, your argument against Zeus is that "everyone says it's a myth."
Great.
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