Religion is organized affirmation of faith
You are kind of mincing concepts here... let us make a little vocabulary first:
- Belief: a thought, an idea, a statement in your mind that asserts something
Example: "a god is a supernatural, immortal being"
- Faith: the conviction that a belief is true
Example: "I think there is a god"
- Religion: organized affirmation of faith
Example: "We gather here today to celebrate our faith that there is a god"
- A god: a supernatural person that is significant within a religion
Example: Jesus, Krishna, Allah, Ra, Zeus, Odin, Jupiter
Nothing in this says that immortal humans may not have religion. The established world religions may perhaps not fit them very well since those religions mostly deal with what happens to a human after they die. But never the less any person — immortal or not — may find a religion that suits them.
As people have pointed out — among them Sigmund Frued and Christopher Hitchens — it can be assumed that much religion comes from our fear of dying. The very thought that one day our consciousness will be eradicated, and the world will go on without us being in it, is a frightening one. And for that reason, mankind has made religion as to try to soothe the sting of that thought.
But what if you are immortal and/or have no such fear of dying? I would say this takes away one of the main forces that drive people towards religion.
But then again: the living will always be very concerned with how to act upon one another while alive. And religions usually do offer a nice package of morals to use for that; a neat set of Do's & Don'ts. So there is nothing to say that the immortals will not be drawn to this just as the mortals are.
And the immortals will have mortal friends and loved ones. These people will age and die. The love and grief that immortals have for mortals may very well cause them seek the same kind of solace in religion as mortals do.
As for the concept of a god/many gods, I find your question kind of odd. It is not a matter of these people should have faith in a god or not, but rather will they have faith in a god. Some most likely will. Why would they not? In fact, they may even be more inclined than mortal humans to believe in it. After all: they share a trait — immortality — with that kind of person.
Will the immortals themselves be seen as gods? Well it all depends. They may choose to see themselves as gods. And some others are likely to see them as such. There may even be cults forming around them. But will that turn into religions?! Eh, not very likely... because these immortals are much too material.
A "god" will lose much of their splendor and awe-inspiring qualities when seen unshaven, hung over and in dire need of a wee on a Sunday morning.
In conclusion: there is nothing that will say the immortals will not be just as religious — even as deistically / theistically religious — as the rest of us.