I would be careful about researching this question. According to a poll taken in 2010, the two top countries of Europe with the highest number of people responding "they do not believe there is a spirit, God, nor life force" and the lowest number responding "they believe there is a God" were both nominally Catholic: France and the Czech Republic. Likewise, Czech Republic was the only country in Europe to which more than 60% of respondents replied to a survey that they never attended church (or only on special occasions), France and Spain were at 50-60% never attending. This was as opposed to Estonia, Germany, and Sweden (all nominally "Protestant" countries -- excluding Bavaria and the large Muslim minorities) which responded at the 30-40% range for the same statistic, showing people there are probably more "religious" than in the Catholic countries.
Again, this is a pretty slippery thing to nail down. I would be very wary of generalized questions like this, as this is probably more of a cultural/sociological question than a historical one, and if it is historical, it's probably more tied to culture than to religious history.
I guess it really depends on what you mean by less religious. Catholicism "requires more" from believers than most Protestant denominations, for lack of a better way to put it.
For Catholics, there are Seven Sacraments as opposed to two for Protestants. Catholics believe in two types of sin, mortal and venial- mortal sin condemns you to Hell unless you confess the sin to a priest through the sacrament of Penance, whereas Protestants do not divide sin into categories, and do not require Penance. Mortal sin in the Catholic church include things like skipping mass and masturbation, so it's easy to see why Catholics would be as pious possible, when you can condemn yourself to Hell so easily.
The Catholic faith requires that Catholics believe that Jesus is the savior, confess their sins, build a relationship with Jesus, partake in the Sacraments and Mass, and obey the dogma of the church. Whereas most Protestant denominations only require faith in Jesus.
Now, as for Protestant European countries being less religious, a big reason Protestantism gained traction in northern European countries was because the people in those countries resented their money leaving the local economy and going to Rome, and because nobles saw Protestantism as a good way to confiscate church lands, eliminate church taxes, and garner more support from their subjects. In other words, belief in Luther's interpretation of religious scripture rather than the Catholic Church's was not a big reason for leaving the Catholic Church. To fight the popularity of Protestantism, the Catholic Church launched the counter-reformation, which flushed out much of the corruption in the Church, and emphasized spirituality, faith, prayer and religious ceremony.
So basically, Protestantism generally appealed to people's wordily interests- nobles who wanted to limit influence of the Pope and of the Holy Roman Empire, commoners who wanted to stop sending their money to Rome, and peasants who wanted to end clerical privileges. Catholicism appealed to people's spiritual interests- those who wanted to stay part of the original church, and uphold the dogma that the believed would lead to salvation.
So, because Catholic religious dogma and tradition demands that adherents actively participate in the faith, and historically Catholicism appealed to people who were more concerned with religion and the afterlife than worldly affairs, Catholic countries can be seen as more religious than Protestant ones.
By what metric are we measuring how religious someone/a country is?
Let me rephrase your question another way in terms of a country I better understand, America. American liberal protestants (methodists, lutherans, MCC, etc.) are not as prescriptive as Evangelicals or Catholics in general. Catholics believe in the divine authority of the pope, evangelicals in the divine and literal interpretation of the scripture, liberal protestants not so much either of these. You could easily make the argument that you could be a good 'Methodist' and never go to church, or never read the bible, but that could never be said of someone who is a Southern Baptist or Catholic.
If you personally believe (or the majority of your neighbors and country believe) that you have the authority to determine what is write and wrong in the world then you don't need a structure to tell you so. Eventually that blends into the notion that you don't need church whatsoever to tell you what's good and evil. Thus, saying someone is more or less religious than another is arbitrary, just because you go to church doesn't make you religious, IF you do not have to go to church to follow the religion you chose. As another poster pointed out, the question of "does a god exist" is much more telling.