I think it's so far in the future and with all the disaster and loss of life, religion died out and there was really no one around to start another church or spread His word. Most likely, any effort to start a church was squashed down by the Capitol and President Snow. He was so power-hungry, he couldn't stand the thought of anyone else worshipping anyone other than him, and anyone talking about religion and/or Jesus would be punished. Then religion just fizzled out.
What do you think?