1) The disciples didn't have a clue that Jesus would rise from the dead so when they found his tomb empty they weren't sure what was going on.
2) Mary thought at first that the body might have been taken but then after thinking about it they realized that if it was the case, why were his clothes left behind? Not only this, but why were they folded?
3) The disciples couldn't have created a religion of Christianity because very few people read or even had an idea of some of the prophecy from prophets such as Isiah. It's not like it is today, finding reading material and more importantly, people who could read, was difficult. Some of the disciples had to use scribes to get their witness testimony to Jesus' existence.
4) It was when Jesus returned and revealed himself to the disciples, that the spiritual wisdom began flowing and they realized things like what Jesus had told them about tearing down the temple and rebuilding it in three days. Quite frankly, the disciples were mostly confused during Jesus' ministry when it came to the future. They clearly understood his message of love, but when he talked about a heavenly kingdom their minds couldn't comprehend anything beyond the hierarchy they dealt with in their lives.
5) If the disciples wanted to create a new religion, they wouldn't have written their stories like they did. They would've made it very simple and easy to sell non-believers on plus they would've written it to make themselves look good but they certainly didn't.
6) Throughout history, there are various periods where non-Christians try to shoot down the story of Christ. It wasn't that long ago when they tried to make it appear that crucifixions didn't take place because if you place a nail in someone's hand, it wouldn't hold up the body. They should've done more research before embarrassing themselves because there's all kinds of evidence that crucifixions took place during that time period but the nail actually went through what we call today, the wrist. Saying it was the hand, was the verbiage they used back then.
Many people have tried for over 2,000 years to nullify Christianity but they continue to lose the argument. Jesus was born. He suffered died and was buried and on the third day he rose from the dead in fulfillment of the scriptures. Amen.