TLDR version:

You seem to be discounting personal experience as a valid form of knowledge when it is technically a type of knowledge and a form of evidence (even if it is sometimes questionable or inaccurate).

Longer version:

I think it's more accurate to say you don't believe them as opposed to "nobody knows" because some people do claim to know. Many people know things about many topics through experience that others don't know, and they are sometimes correct.

I'm sure some philosophers have addressed types of knowledge and how to validate them in a better way than I will here... But, off the top of my head, it would seem there are at least 3 types of personal knowledge:

1) that which is easily tested in a physical manner so that others can experience a similar level of understanding. Example: I can drive a small common nail through most woods with a small hammer; I'm not likely going to be able to drive the same type of nail through a concrete floor with the same small hammer... All of this would be easily verifiable... and this seems to be the kind of proof you're looking for, but it isn't a valid or reasonable request considering a soul would be freed from their physical body.

2) abstract or theoretical knowledge... can be true, but isn't easily understood and not understandable to everyone. Example: Einstein gained knowledge of what became his special theory of relativity, and maybe the general theory of relavity by building on thought experiments. Not sure how special relativity was tested or proved, but I believe it took several years before general relativity was validated during an eclipse. In the meantime, many professional scientists doubted Einstein. Einstein wasn't wrong (at least we don't think so now), but many people-- even professional scientists-- lacked the understanding to accept what was later experimentally proven true. Whether that level of understanding is based on inherent intelligence/IQ, experience, or some combination is another topic, but it points to the fact that just because some (or even many) people don't understand something to be true does not make believers wrong unless they can prove otherwise. It's fine to be skeptical as long as you don't close your mind to the possibility that others may know something you don't.

3) Some knowledge that can be true is purely experiential. I might be sitting on the beach and see a shooting star, which could be perfectly true, but I'd have no way of proving that to you.

In my opinion, the problem with your question of why isn't there evidence of an afterlife comes down to how you're framing adequate proof. After all, if someone dies or has a near-death experience, and their mind/soul have been temporarily freed from their body, it doesn't seem reasonable to assume they're going to come back with proof or evidence of the type described in the paragraph numbered "1" above. It seems more reasonable to my mind that #3) experiential and possibly #2) abstract knowledge would be more probable types of proof that might be presented to you, and the validity then comes down to your faith in the source and your capacity to understand abstract ideas that are presented.

If you have a legit desire to investigate this topic, studing NDEs as some suggest can give insight to the extent you're open-minded. One particularly interesting case was Eben Alexander, a neurosurgeon who contracted meningitis (I think) and while he lived through the ordeal, the parts of the brain which would be expected to have been actively working if his experience was a dream were effectively non-operational / dormant / dead for approx a week. He wrote a book, Proof of Heaven, but is also in a number of youtube vidoes discussing his experiences.

If you want to dig deeper into the philosophical framework that would support belief in existence beyond the flesh, I recommend EF Schumacher's book, A Guide for the Perplexed. It has an exceptional chapter on the Great Chain of Being which has bearing on the question at hand. (Briefly, it's about ontological levels of being from non-living matter like rocks, which have no inherent freedom and are thus completely contingent, to plants, then animals & humans, which have increasing levels of intelligence and thus ability to organize matter, making them less contingent, thus more active and free. The book further explains how the increasingly important and precious qualities that mark the ontological levels are increasingly invisible and unmeasurable (to lower standards of proof), with the ultimate expression of intelligence, activity & freedom, etc being God.) In another chapter it further elaborates on how meaning changing up and down the chain, which is relevant to understanding concepts of proof.

ThinePreparedAni's post on pg 3 also has good perspective. We tend to think our five senses are "the" objective truth of reality, but it's just as reasonable to suggest our brain and senses are like antenna that only allow parts of reality in heavily filter out parts of reality that don't promote immediate survival... unless you're on a psychedelic trip or have an NDE which disrupts / deconstructs / opens the flood gates to how you see and interpret reality. So, there's that.