Some of them do. Some of them don't. "Religious" covers everything from evangelical psychos who are still salty about the end of slavery to liberation theology. In between that there is a large group of people who go to church a few times or less a year and say a prayer in times of great personal crisis but who otherwise doesn't think much about religion. I don't think they're any better or worse than non-religious people.

And it's not like non-believers are automatically receptive to Marxism. For instance I don't think Reddit atheist techbros are going to join a vanguard party any day soon.