Do you object to my use of the word "identity"? I think it is appropriate.
Each person has to decide what to believe and what to stand for. Who you decide to be as a person is your "identity"-- this includes your religion, your purpose in life, your goals, your values, your profession and even the friendships you chose to have. Deciding on an identity is an important (and sometimes difficult) process that often happens in our late teens and early twenties (I have no idea how old you are).
I think the feeling that "some part of me is missing" is a pretty common feeling, I certainly have felt it, especially in the times when we are making decisions about our identity.
Note that I am being careful not to make anything in this post about a specific religion. Religion is really not relevant to this idea. Rededicating your life to Jesus is an example of choosing an identity. So is deciding to be an atheist (or Budhist or a good Russian or a Mason or even just a good person). The point is that each of us has to choose for ourselves who we want to be as people; a process that is both necessary and challenging.