Atheism

If you asked me what my religion is, I would answer that you have already pre-supposed that I have one. Even though I would know what you're actually asking, I would answer that way to bring more popularity to the idea that not having a religion is normal. Yeah I know, I'm fun at parties.

You can really go down a pretty deep rabbit hole here.

Strictly speaking, atheism is the lack of a belief in a god or gods. A-without, theism-belief in god(s)

There are religions out there that don't have a figure you can easily identify as a god, certain types of Buddhism for example, and so you wouldn't necessarily be wrong in calling followers of those religions "atheists"

But that's of course somewhat at odds with how we normally use the term atheism, and them prevent confusion we'd normally refer to these as "non-theistic religions" instead of "atheistic religions"

You can also get into the weeds about what even counts as a god, for example, certain types of taoism/daoism don't really have any particular god-like figures, but they do have the tao/dao (roughly translating to "path" sort of a natural order the the universe that you should try to be in sync with.) Is the dao a god? It's certainly not a personal god, something you can pray to and expect to get an answer back from, or that can/will intervene in the universe, it just sort of is and you're either on the path or you're not. You could certainly argue that it is a god, if an impersonal one, but it's definitely not what most people would think of as a god.

You can also have religions that don't really have anything they'd identify as a "god" but might have other lesser supernatural entities, things like spirits, demons, angels, ghosts, fairies, djinn, etc.

There's also UFO religions, where aliens are the primary figures and often a lot of their supernatural abilities might be explained away as just very advanced science is centuries beyond our own capabilities.

Going the other direction, you could theoretically have someone who believes that there is some sort of god out there, but makes no attempt to pray to them, worship them, doesn't take part in any sort of ritual or culture having to do with that belief, and pretty much just acknowledges that the god exists but that its existence has no particular impact on that person's life or the universe in general. You could very well call that person a non-religious theist. Many deists would fall into this sort of category.

Something I wish got a little more attention in these sorts of discussions is ignosticism/igtheism/theological noncognitivism, which is the camp I put myself into when I'm feeling really nitpicky, and I like to sum up as:

Theism: I believe that there is a god or gods

Atheism: I do not believe that there are any gods

Agnosticism: I'm not sure if there is a god, and maybe we can't ever know for sure

Ignosticism: What the fuck do you people even mean by "god." No one has come up with a clear definition yet so this argument is pointless.

Whenever I've been asked I always say no religion

I would say I don't have one. Atheism is not a religion it is a description of a single attribute, lack of belief in any gods. People seem to think it means a lot more than it does.