I've had that same thought Jarod, though I would argue that it's still religion. I think religion is the doctrine based around the deity, which the Bajorans had plenty of, rather than certifiable evidence of the deities existence. So even if the Prophets weren't Gods as we might define them, the possibility of a religion based around them still exists and was clearly present.
We see this quite often in sci-fi, in the often used trope of a more advanced species being seen and worshiped as Gods, by a lesser advanced species. Trek has even used this idea multiple times, not including the Bajorans. And to cross over for a moment, this was one of the major plot points of the entire Stargate franchise. So even if you could see and touch your God, there is still the likelihood that a religion would exists around them.
DS9 took a very unique approach I think, more so than what could have been accomplished in the real world. For the Bajorans, the Prophets weren't some high in the sky deities that might not have existed. They were tangible life forms that could be interacted with and were interacted with, granted by a select few, but never the less, they did physically exist in a justifiable manner.
This allowed the writers to forgo the discussion we face today of whether or not God truly exists. Because even if you believe in God and have faith he/she exits, you can't go see him and return from speaking with him, with scientific evidence of the encounter in hand, the way Kira, Sisko, and others often did. This created a unique experience I think that separated the issue of religion from what it might have otherwise have been, which played out in the way Starfleet saw the Prophets as wormhole aliens and Bajorans saw them as Gods.