In his autobiographical movie, Stardust Memories, Allen's character is called an atheist. He responds "To you, I'm an atheist. To God, I'm the loyal opposition."
Some more quotes: "Not only is God dead, but just try to find a plumber on weekends."
"I do occasionally envy the person who is religious naturally, without being brainwashed into it or suckered into it by all the organized hustles / Just like having an ear for music or something. It would just never occur to such a person for a second that the world isn't about something."
"If only God would give me some clear sign! Like making a large deposit in my name at a Swiss Bank." ["Selections from the Allen Notebooks," in New Yorker (5 Nov. 1973)]
"Not only is God dead, but just try to find a plumber on weekends."
"To YOU I'm an atheist; to God, I'm the Loyal Opposition."
"As the poet said, "Only God can make a tree" -- probably because it's so hard to figure out how to get the bark on."
"How can I believe in God when just last week I got my tongue caught in the roller of an electric typewriter?"
"If it turns out that there is a God, I don't think that he's evil. But the worst that you can say about him is that basically he's an underachiever."
"I do not believe in an afterlife, although I am bringing a change of underwear."
"The chief problem about death, incidentally, is the fear that there may be no afterlife -- a depressing thought, particularly for those who have bothered to shave. Also, there is the fear that there is an afterlife but no one will know where it's being held." ["The Early Essays," Without Feathers (1976)]
"I do occasionally envy the person who is religious naturally, without being brainwashed into it or suckered into it by all the organized hustles." [Rolling Stone magazine, 1987]