I am assuming that they believe that Christianity is just some “invisible” or “spiritual” church, and not some hierarchial institution established by Christ to teach His Word infallibly (a.k.a., the Catholic Church).
Ask them what we are supposed to believe. Undoubtedly, they will say the Bible. Ask them why the Bible? Why is the Bible the Word of God and not some other books? Why are some books (Gospel of Thomas, for example) not in the Bible? Why are the books that are in the Bible there? This will undoubtedly lead to a discussion about the infallibility of the Catholic Church to determine, under the Holy Spirit, what a “Bible” must contain and omit.
Also, would Jesus just leave us to the wolves? No, He was the Good Shepherd, and guides us in everything we do. Matt. 28:18-20: Then Jesus approached and said to them, “All power in heaven and on earth has been given to me. Go, therefore, and make disciples of all nations, baptizing them in the name of the Father, and of the Son, and of the holy Spirit, teaching them to observe all that I have commanded you. And behold, I am with you always, until the end of the age.” Jesus solely grants this authority to teach in his name to the Apostles and their successors. We need an authority to guide us. Why are there 33,000+ Protestant denominations? Simply, no guidance.
Hope that helps.