While the above is a possible reason, I would also stress that the southern countries were actually less concerned with religion during the Renaissance than the Northern countries were.
In Italy, especially, there was easy access to texts from the classical era. Because these texts were available, thinkers turned to Aristotle and Plato and such thinkers for inspiration. Therefore, they were less interested in the thinking of the Catholic Church and their thinking led them to humanism.
In the North, the classical knowledge was less avialable and the thinking of the Church was more important. Therefore, Renaissance-type thinking led to Reformation in the North.
One possible reason is that Southern Europe was both historically and geographically more tied to the Catholic Church, the Papacy and the power of the Vatican, therefore it was less likely to believe in or follow challenges to the traditional views on religion.
Northern Europe by contrast, populated by Germanic tribes once conquered by Rome, had a different culture and language, and did not feel the same degree of loyalty to, or shared history and belief systems as the Vatican, and were more likely to be open to Martin Luther's ideas. Still today, the vast majority of northern Europe is Lutheran/Protestant, and the majority of southern Europe is Catholic.