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I'm sorry if this is a dumb question. I'm not very familiar with the lore.
So do Space Marines believe in an afterlife? If not, are there any other races that believe in an afterlife?

No, most still maintain the imperial truth to a degree which doesn't believe in an afterlife

Space wolves talk about a Valhalla style place sometimes though, and the chapters that worship the emperor as a god like black Templars and red hunters probably have the imperial creed view where after death you become one with the emperors spirit

Most Space Marines are more focused on their geneseed, which will carry on and continue their genetic heritage.

Yes. Astartes believe their souls go to the Emperor's hall to wait for the final battle.

Edit: Ack, nevermind, I remembered things wrong

Making a blanket statement about all Space Marine chapters is clearly a bit ambitious.

Clearly Black Templars follow the teachings of the Ecclesiarchy. As a rule they think they go to be with the Emperor after death.

While some the original legions clearly bought into the Imperial Truth, others obviously did not (Word Bearers). Since then, as living memories of the Emperor died or ended up as Dreadnoughts, things got rather muddied. In 40k some of the original legion descendants reverence the Emperor to the point that they practically worship him (Ultras, Fists). Others clearly don't (Wolves, and in my opinion Blood Angels).

Of course there are many, many chapters whose theological dogma has never been examined in the fluff. There are many more unnamed chapters for your chapter-building pleasure that are subject to your whims.

There's probably some latitude in the degree of reverence each individual Marine gives to the Emperor based on their own background, despite the fervor of Chaplains... as long as a Marine keeps it to himself. Just as the degree of fervor a citizen of the USSR had for Communism despite their Young Pioneers and military Commissars was far from uniform.

Given the fact that many, if not most, Marine recruits in 40k hail from worlds where the Ecclesiarchy is dominant, a slow drift toward Emperor Worship over 10,000 years makes sense. I suspect the number of Chapters embracing full divinity is a smallish minority, but their numbers have probably grown as the End Times approach.

But if you prefer to think Marines (especially the original legions) stuck closer to he atheistic Imperial Truth, go for it. If you want to have your Black Templar Crusade be a bit more circumspect about the Emperor's divinity, have at it... though it should cause issues with the rest of the chapter and should be explained in your fluff.

On the other hand, if you want to go full-bore for the whole crusader knight-monk approach, there's absolutely nothing saying your chapter cannot be a zealous, Emperor-loving choir of baritones and basses. No reason you can't go for that outside the narrow canonical strictures of the Black Templars.

The game was deliberately built to allow you latitude to put your own spin on things, after all.

My two cents.