The answer: Angels. They all believe in them. For example, Aristotle argued that there are immaterial beings responsible for the motion of the heavens.
But more relevant, is to answer: why do religious people and non-religious individuals assume that there are more than just humans as intelligent beings? Why do there ought to be intelligences other or/and higher than our own?
Benedict Ashley answers:
[It is] uncomfortable to the modern mind…to suppose that we human beings are the only intelligence in the universe. To understand this discomfort, which has resulted in the proliferation of science fiction fantasies about life in other worlds and in perfectly serious efforts of scientists to communicate with other humanoids, we should note that one of the modes of creative thinking that has paid off richly in science, although of course it always requires testings against evidence, is extrapolation or pattern thinking…
“We are always looking for “missing links” to complete this pattern…Therefore, when we discover that in our visible universe there is a type of organism, the human species, which introduces a wholly new principle behaviour, namely abstract, symbolically expressed creative thought, we naturally conjecture that the very limited exemplification of this type of life found only in the single human species cannot be the only one.”
If we also, accept that the world has been created by a God who is infinite intelligence, we are even more struck by the immense gap that lies between these two extremes of mental power, the human and the divine (Theologies of the Body, ch 13).
Source: Handbook of Christian Apologetics (Kreeft & Tacelli)