To me it is self-evident that God does not exist as a physical entity. However many many things that are critically important to us do not exist as physical entities. We call these things 'concepts' and there are way too many of them for me to waste your reading time giving examples. Humans adopt concepts which are personally productive for them. There is no mystery about God, God is just a human concept. For many people it is such a useful concept that they will live and die by him/her. Note that as God is a concept in each person's mind, everyone is free to tailor God to their own preferences, and they do. For example, atheists tailor God right out of existence. Also where we might use the term 'conceptual', people of antiquity used the term 'spiritual'.