Religion requires high level communication skills and the ability to understand (and disseminate) logically consistent abstract thought. We know that dolphins, as an example, meet both those criteria, but we don't really know what they're communicating to one another. They might be praying aloud that these humanoid demon things will one day be washed into a watery hell by the Great Ocean God. Their lifestyle is obviously very different than ours, however, so they might not make the same kind of associations that our ancestors did in terms of personifying natural events.
Also, there is the fact that I was taught in Sunday school that animals don't go to heaven. I was devastated, so I can imagine how they would feel. They're all probably really, really pissed off and spend a lot of time making rude gestures toward the heavens.
