They still want to feel special because they're always told they're "God's Chosen!" They don't want to lose that special status even if they're non-religious.

Part of it could also be their long history of oppression. Slaves to Egyptians, expelled a million times from a million different places, Holocaust, etc... "See, look at all the bad things that have happened to my ethnicity! We've always been oppressed, so it's our turn to rule now."