People identify themselves (& others) as Jews regardless of their beliefs. In areas where religion has become the current tribal banner such as N. Ireland, India, Iraq, etc., people do something similar.

Often they mean association with a group. Sometimes they mean ancestry/heritage. 'Identify as a Christian' tends to mean different things in different places.

What would be the alternative to identify oneself as Christian? As atheists? Where non-belief is overwhelmingly common there is little need to spell out you non-belief (that's taken almost for granted) and focus is instead put on what cultural aspects you feel in line with and which you don’t. Although people don't believe in God they still acknowledge that the Scandinavian cultures are heavily influenced by Christianity.