I’m this case people seem to be fascinated by history. Simple as that. Regardless of what you believe about Jesus, the significance his history has had on the world is undeniable. It’s also very interesting that many people have paintings of a blond haired blue eyed surfer Jesus when the evidence suggests he looked different.
If you see it similar to Santa Claus history than yeah no proof is needed but than I would still find it strange to discuss something like this in so many facets.
If you see it more like Julius Cäsar History then my comment makes more sense.
Ironically, even Santa Claus is based on a real person, as others has pointed out.
The difference in belief (edit : about Jesus) between non believing historians and Christians is mostly about the miracles.
There is at least one written source who actually followed him and it is supported by a number of other writings from people who talked to people who met him (Paul and others).
Given the circumstances (he was born a carpenters son, huge demographic changes occurred shortly after his death and it all happened about 2000 years ago) I'd say that is pretty well documented. Plenty of people we know about are less documented than that.
As for the miracles that is another story. I believe, but I actually fully understand why people won't belive.