What is a world religion? Roman paganism had millions of adherents, reduced to nothing. Ditto for the so-called mystery religions (besides possibly Christianity) that sprung out of: the cult of Isis, Mithraism, etc. Egyptian religion similarly had millions of adherents and died away. Aztec religion. Name a pre-Christian or Muslim society that had millions of people and, for the most part, the religions they once practiced are gone (the other major proselytizing contemporary religion, Buddhism, was less likely to annihilate pre-contact customs, though did it as well, depending on how you quite deal with religious mixing).

More importantly, you have Zoroastrianism, which survived on to the present day only with likely only a few hundred thousand people.

Now, this doesn't fully explain which religions survive and which die, but generally, even before the Treaty of Westphalia Peace of Augsburg which coined the term, cuius regio eius religio, that is, he who rules, his religion. The Roman Empire, generally, tolerated a wide variety of cults and religions so long as their adherents remained subservient to the Emperor and partook the imperial cult in addition to whatever other practices they subscribed to.

Christianity was very different, and generally only allowed Judaism in its territory until after the Enlightenment. Islam similarly only allowed Christianity, Judaism, and Zoroastrianism.

Without either official support or a special recognized legal status and a loyal, ethnicized community, most religions falter. Manichaneanism reached China, for example, but like the early Christian and Jewish communities of China, which essentially disappeared (there is a small remnant which claims descent from the Jewish community in Kaifeng, but the community seems to have been permanently disrupted in the 19th century). The indigenous ethnic Chinese Muslim community thrived, its survival likely due in part to the fact that it didn't end up isolated like the Jews and Christians. Religious communities can survive surprisingly long periods of isolation and persecution (see, for example, the Japanese Kirishitans), but not forever. The Kaifeng Jews (Jews, with their strict bans on intermarriage, strong international ties, distinct identity, written tradition, and dietary laws the prevented too much socialization across community lines, have tended to have faired better in diaspora and out of power than most groups) are a good example: even by the 16th century when Jesuit missionary Matteo Ricci is in contact with them, they complain that their isolation has left them with a lack of learning. We have Manichean documents going at least into the 11th and 12th centuries. Not bad for a millennium out of power as a universalist religion (another difference from the Jews, whose claims of spiritual chosenness were not as harmed by their obvious small numbers).