In Catholicism, limbo is a place in the afterlife where those who die in original sin are sent rather than going to hell. The Limbo of Infants is the hypothetical status of unbaptized infants who die before baptism. It can also represent a place of uncertainty in general.

So, Pi is right to say we're born in "limbo" because as babies, we have no idea of God or any type of religion. Then, as we grow, we learn from our parents or others about God and a particular religion, and we believe what that religion teaches us. For most of us, we stay with that religion for the rest of our lives, practicing its beliefs. Somewhere along the way, some people may become unhappy with the teachings of their religion and/or with God, and they may try to find meaning elsewhere, whether it's in a different religion or without religion at all. Pi is saying for those people who do change from their beliefs, it usually leads them into worse circumstances where they end up losing sight of God and any religious beliefs at all. For Pi, this isn't true because his belief in God is strong even though he's interested in different religions.