Because the Aliens don't already have Organized Religion
The aliens have never encountered anything like human religion before. Perhaps in their minds, there is only fiction and non-fiction, and when they see the "based on a true story" disclaimer, they believe it 100%. We humans have grown up in a world full of various aggressively domineering religions, and have subsequently had to learn how to work out the differences between cults, cons, and various possible explanations of reality.
As John points out in the comments, it is hard to imagine a species with the creativity to become technologically advanced without ever establishing a religion of thier own. The key here is not that they never thought of religion before, but that they don't have it. There are a lot of reasons this could happen:
The aliens may be more comfortable with uncertainty. So, when an alien doesn't know why something happens, they don't feel compelled to make something up to fill in the gaps or to fight to defend their made up assertions. So, when aliens see humans come along saying with absolute certainty that something is true, the aliens would take human certainty as strong evidence that it is true. Because in thier psyches, no one is ever that certain about anything that is not a fact.
The aliens are a long-time secular society. Missionaries of any religion often find it much easier to convert people who have never belonged to a religion than those who already worship something, or harder yet, people who were born into a religion and then decided to stop believing in it. In a world that has left all religions in thier mythology books, there would not be the since of guardedness about accepting a religion because it would be seen as a neutral, not hostile, ideology.
The aliens believe in the simultaneous truth of all spirituality. Rather than not believing in any religion, they believe in all religions simultaneously. They see all depictions of gods as either being different aspects of an infinitely complex god, or of many lesser gods. Since such people have no standard dogma, they can not exactly be explained as belonging to a religion. As you saw in ancient Rome, such kinds of spirituality can thrive as long as no dogma rises above others, but when un-organized religion meets organized religion, the organized variety tends to win.
The aliens maintain thier society by other means. Humans use religion as a way of controlling one another. Parents use religion to make thier children do what they are told. Leaders use religion to manipulate the feelings of thier subjects. For humans, our ability to conceive of and apply religion is not just about making stuff up, it is a necessary skill for creating a stronger more cohesive community. If your aliens have other more effective methods for manipulating the behaviors of a hierarchy, then religion would not be needed. Maybe they are telepathic, or use pheromones, or implant each other with mind-control parasites. Whatever it is, they have no practical need for religion.
Every major religion on Earth has in it some tannate that says you should do something to spread the faith. This in turn spreads the sphere of influence of that religion's leadership. If your aliens don't need religion for thier leaders to secure power, then there is a lot less pressure to spread your faith or care what others believe in. As such, your aliens could be just as prone to come up with religions as humans, but they would never spread the same way because members would not have reason to care if it spreads. This would make human religions uniquely pervasive in their communities because they would have never had to deal with a religion that says you must spread the religion.