For a number of reasons. Let's look at just two...
First: He fulfilled prophecies, very specific prophecies that were laid out hundreds of years before His birth. There were over 300 of these prophecies fulfilled. If you take just 16 of these, the probability of them happening by chance is 1 in 10 to the power of 45.
Second: Speaking of fulfilled prophecy, He rose from the dead. Do we have just His word on this? No, His disciples, all of whom were cowering in fear and doubt after He was killed, were transformed. After denying Him repeatedly right after His death, not one would recant their story after His resurrection. After seeing the risen Jesus, they boldly went and spread the gospel. Most were martyred for their belief.
These were the men closest to Jesus, the eyewitnesses. Yes, men throughout history have had faith in, and died for, a lie. However, no one willingly dies for a lie they know to be untrue.