Those who ask this question are often directed to Hebrews 12:1. In this verse, the writer portrays the earth-bound Christian as being in an amphitheater of life, surrounded by "a great cloud of witnesses." The setting implies that of an athletic event, like a footrace.
The "witnesses" are a reference to the great heroes of the faith listed in the preceding chapter. Some Bible interpreters have suggested that these heroes of faith, plus all who have run the race successfully before us, are actually aware of our race and are observing us. Other interpreters, however, do not see these witnesses as actual spectators, but rather as examples of those who have successfully run the race.
This would seem to be the most likely interpretation. The New International Version Study Bible footnote points out that "the Greek word translated 'witnesses' is the origin of the English word 'martyr' and means 'testifiers,' 'witnesses.' They bear witness to the power of faith and to God's faithfulness."
The "great cloud of witnesses" reminds us that we all have the same faith, and in Christ's name we may persevere in our faith in spite of all obstacles and may attempt equally great tasks. So, "let us throw off everything that hinders and the sin that so easily entangles, and let us run with perseverance the race marked out for us. Let us fix our eyes on Jesus, the author and perfecter of our faith" (Hebrews 12:1-2).