I think you meant Valhalla.
Not sure about other religions but according to Christian teachings, the only way to gain entry into Heaven is to accept Jesus as your lord and savior. This means that if you do not believe, you can not enter.
The problem is, what if you chose the wrong religion to believe in? You could end up in another religions version of hell. In the world of religions, hundreds of gods have been named and most of those religions are either extinct or on the endanger list. Seeing that any one of the religions is as likely as the next, that means that if their was a god, the religion is most likely one that nobody follows dooming everyone. To me, it is obvious that after we die, we just stop existing.