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My dictionary defines religion as "the belief in, worship of, or obedience to a supernatural power (or powers) considered to be divine or to have control of human destiny." The English word itself is derived from the Latin "religere" which (according to Cicero) is derived from, or rather a compound of, re and legere meaning to read over again (as one does with sacred books). And Lactantius says it comes from "religare" meaning to bind back, because religion is that which furnishes the true ground of obligation.

My own understanding of the word, as we commonly understand it today, comes from biblical passages such as Romans 1. The Bible clearly shows that human beings are aware, however dimly or imperfectly, of the existence of God and of their own fallen condition as sinners. They do not want to admit this, but at the same time it is inescapable. Why? Because man is a created being. And he was created in the image of God. Man was created to know and to be in fellowship with God. But because of the sin of Adam and Eve, who are the source of the whole human race, there is now an enmity between God and human beings. And while some rebel against God even more radically by trying to deny that God exists, the vast majority of human beings manifest their sense of these things by being "religious." However much we Christians may disagree with, and disapprove of, all religions except for biblical Christianity, we must at the same time recognize that these religions—false though they are essentially—confirm what the Bible says about man's fallen condition.

As King Solomon recognized, God has set "eternity" in the heart of man (Eccl. 3:11). In other words man is different than all other sub-human species in that he has a desire to live forever. This fact itself proves that he is, indeed, God's image bearer. It is also the reality that drives us to be religious, one way or another. So I think the answer to your question is: God! God created religion. And as the great church father Augustine said, "man's heart is therefore restless until it finds its rest in the one true God [by faith in his Son Jesus]."