Well, no. Perhaps I’ve been misunderstood.

If no evidence whatsoever for a claim exists, then there is no reason to favor that claim. This is an effectively rare situation, and basically only applies to things someone has made up whole cloth just now.

Likewise, the existence of some evidence is not necessarily definitive “proof” of a claim, merely enough of a reason to consider it further (such as considering alternative explanations or how well said evidence matches what we might expect)

In this case, there is evidence that somebody named Jesus may have existed, and however ideal that evidence may or may not be, it is about the amount of evidence we would expect to find of any given figure from his time.