Well, consistently asking if we believe in other historical figures is kind of a weak argument, as well. I don't recall any religions popping up based around riding Elephants through the mountains. But we're supposed to have this blind following for this man who apparently was the son of God, despite no evidence to back up that he existed? Sure, there's shady info surrounding Alexander the Great. But Alexander the Great doesn't have an entire book based around his life and teachings, does he? Are there millions worldwide that follow the teachings of Alexander the Great? It all boils down to that there's no proof that he existed, therefore there is no validation in anything that he supposedly said. Let's say that he never existed. Would you still have faith in what he said, despite the fact that he wasn't around to say it? It would be a huge work of fiction, similar to someone believing in the philosophy of Fight Club.