If you won't accept all the physical evidence of temples and other acts of devotion in all the towns in Greece, then I think the best evidence is the reaction against Christianity and also the way Jewish people, like the author of Wisdom (an apocryphal book of the old testament) discuss them. Wisdom treats polytheism as a very sincere (and irrational) belief. 1 Corinthians addresses what Christians should do about meat that has been devoted to gods (sacrifices were basically barbecues where people would have the meat). Neither of those texts make particular sense if this was all just play-pretend. Jews and Christians DIED because they didn't play pretend about religion (see: Maccabees, Pliny Ep. 10.96-97). I doubt even the most vehement Muggle would rather die than see what house they belong to in Pottermore.

Polytheists were also suspicious of Christians because they did not take part in religion. As I mentioned, Jews and Christians were killed over it. Riots broke out in Alexandria and other cities between polytheists and Christians over places of belief. This isn't Harry Potter fans being incredulous that someone hasn't read the books, these are people who truly believe that the community as a whole must perform certain rituals in order to maintain the favor of the gods.

As for the myths themselves, that's a bit of a different issue. Plato found them detrimental because of the poor way the gods often come off. He goes so far as to call Hesiod a liar in Republic Book 2. For Greeks, the most important myths/legends were the ones associated with your polis. Athenians might not buy all that stuff about Uranos getting castrated by Cronos (the example Plato gives), but they were more likely to believe that Poseidon and Athena had a contest for the patronage of the city. After all, they could see the olive tree Athena gave them on the Acropolis.