You are right; even people who aren't religious often assume there must be something beyond the grave, even if they don't think about it very much or know exactly what it is.
Why is this? The reason is because God has put within each of us an inner sense that this life is not all, but that we were meant for eternity. We may suppress it or deny it, or even fight against it (as atheists often do) -- but the inner feeling is still there. The writer of the Old Testament book of Ecclesiastes put it this way: "He has made everything beautiful in its time. He has also set eternity in the hearts of men" (Ecclesiastes 3:11). Even the beauty of the created world, he suggested, points us to a far greater beauty -- the beauty of heaven.
Why do we have this inner conviction that death is not the end? The reason is because we know we aren't simply physical beings; we also have a soul or spirit, and we bear within us the likeness of our Creator. That likeness has been marred and distorted by sin -- but it's still there. And just as God is eternal, so we sense that we too must be eternal. God, the Bible says, is "the high and lofty One ... who lives forever" (Isaiah 57:15).
But we don't need to depend on a vague feeling that heaven might exist. We can know for sure that it does -- because Jesus Christ died and rose again for us. Put your life into His hands, and then thank Him that you will be with Him forever.