"Yes, it would seem so," Sephiroth remarks. Which is sadly true of many locales.

He nods thoughtfully. "That's good of them. And ah, thank you, but I don't really practice any faith."

To say nothing of the fact that he was arrogant enough to believe himself a god in his insanity. He knows he isn't now, at least. But he has a hard time believing any god would want him even if he found a faith that resonated with him.