There's a joke about a guy who gets stopped at a paramilitary roadblock in Northern Ireland during the Troubles, and claims to be an atheist. The thugs respond: "Yes, but are you a Catholic atheist or a Protestant atheist?"

In many societies and for many people, religion is not just a set of "things you believe", but is deeply connected with cultural and/or ethnic identity. The best example in the US might be Jews, which are either a race, culture, ethnicity, religion, or some combination of all of the above. But the same principle can be true for other groups as well.