All lifeforms we know of are born from competition for resources, so assuming aliens have this same rule I would expect they would have a religion. However if they somehow live in a world without resource scarcity there is no need to pray to Indra for rain for your crops because they get all the nutrition they need from the sun for example.
Of course, we might never meet a society like that. If you don't need to survive winter with enough food, then you don't need to build agriculture, and you don't need to build more efficient tools to get the most out your farm, and you don't need militias to guard your farm which eventually turn into armies and so on.
A society like that might never even need to invent the tools necessary to contact us so I would expect that any contact we could have would come from societies with resource scarcity, and therefore religion would have be involved at some point in their evolution as their early way of trying to understand how the universe works and to try to give meaning to suffering.