Creatures are not born with desires unless satisfaction for those desires exists. A baby feels hunger; well, there is such a thing as food. A duckling wants to swim; well, there is such a thing as water. . . .
If I find in myself a desire that no experience in this world can satisfy, the most probable explanation is that I was made for another world. If none of my earthly pleasures satisfy it, that does not prove that the universe is a fraud. Probably, earthly pleasures were never meant to satisfy it, but only to arouse it, to suggest the real thing.