Even those who insist they aren't.
Professing to be wise, they became fools, and changed the glory of the incorruptible God into an image made like corruptible man—and birds and four-footed animals and creeping things. Romans 1.22, 23
John Owen wrote that all Christians have an image of Jesus in their minds, which they honor and adore. He explained that this was a good thing, and that we should seek to improve that image by meditating on God's Word. We delight in the image of Jesus because we desire to be transformed into His likeness, from glory to glory (2 Cor. 3.12-18). This is the true religion, because living for Jesus truly binds us back to God.
Everyone harbors, adores, and pursues an image of something, even if that image is merely of themselves wealthy, famous, admired, powerful, or however they envision the ideal state they pursue for themselves.
For most people that won’t be a very lofty aspiration: “All I want is a room somewhere...” Nevertheless, it represents an image or vision they devote themselves to in all the activities of their lives. It is an unseen, hoped for state and vision to which they long to be bound (“religion” - religare, to bind or bind back). It will guide their choices, shape the course of their lives, and ultimately - if it is not the vision of Jesus - disappoint them soundly.
And meanwhile, as they earnestly pursue their vain hope, they experience the wrath of God, like perpetual warning shots, in all the setbacks, struggles, difficulties, and disappointments of this life; for God, in His great grace and care for them, both blocks their way, like Balaam’s angel, and strews their path with good things, which they attribute not to Him, but to their own wits or strength. He both woos them and gives them up, striving to save them, but willing to let them suffer the consequences of their vanity and folly.
Lost people are lost not because they aren't religious, but because they have embraced a false religion.