The soul ain’t some random gaseous substance which can exist independently of your body. No. Your body is your soul, and your soul is your body.
Which means: when your body dies, your soul dies too.
Why do we believe in an immortal soul?
Mostly a Judeo-Christian notion. Also extends to the ancient greeks (who believed in Hades … the under-world). Interestingly enough, the ancient greeks didn’t believe in a ‘heaven’ — that was reserved for the gods (not humans).