In Chapter 14 after his encounter Sunny, Holden says he "felt like praying" but he can't always pray when he wants to. Although he admits, "I'm sort of an atheist," he declares that he likes Jesus. On the other hand, he doesn't "care too much for most of the other stuff in the Bible." The Disciples in particular "annoy the hell" of Holden; he believes that all they did was to "keep letting Him down."
Holden admits that he didn't "go to church or anything" because his parents are of different religions; as a result, he contends that all of the children in his family "are atheists." Furthermore, he disdains ministers because they have "Holy Joe voices" that make them sound "phony" when they talk.
Even though he says that he's atheist, notice that Holden does try to pray. In private then it seems that he does have some religious beliefs. For the most part, Holden's attitude toward the world reveals his negative view of conventional social roles. He's such a rebel that he calls himself atheist perhaps just to be different from most people.