In other places, Columbus mentioned that the Indians had "mosques", by which he meant non-Christian places of worship. Many scholars have basically made the argument, that I mostly agree with, that our current sense of what a "religion" is and isn't come in large from the colonial encounter. Some people start this discussion literally with Columbus. The best introduction to this literature in religious studies is Jonathan Z. Smith's article "Religion, Religions, Religious." Full text PDF here. I don't know the specific context of what Columbus wrote, but per Smith's article, which is a history of the term, it's possible that he meant they lacked the true religion (that is Christianity), and it's possible that he meant that they didn't have any recognizable religious practices (heathen or otherwise). Religion, especially before the colonial encounter, was often used in the singular to indicate Christianity (hence the start of the title: religion, religions).

But basically, the post-Columbus colonial encounters often have many different phases where people later reassess the native's religiousness. For the British with Buddhists, see Almond's The British Discovery of Buddhism, for various people with Vajriana (Tibetan) Buddhism, see Donald S. Lopez, Jr.'s Prisoners of Shangri-La.