This line of questioning is equally perplexing when juxtaposed by other famous, historical figures. For example, Plato. Why is that people challenge the historicity of Christ, but not Plato?
It doesn't really matter whether Plato existed or not. We value Plato for the writings attributed to him, not for his existence.
For many people, it
matters greatly whether Jesus existed or not. Therefore questions about the historicity of Jesus are more important than those about the historicity of Plato.