Let's clarify a few things that may help.
The word religious most commonly indicates a spirit of reverence toward God.
So if you don't believe in God, It makes a lot of sense that you are NOT religious.
Disappointment indicates that your parents are not happy with the fact that you do not presently believe in God. If they choose to be unhappy about something, that is both their choice and their right.
But it is about them and not you---although it definitely is affecting you as you indicated. I suspect there are many ways in which they are in fact quite pleased at what you are, but that specific cause of disappointment for them is leaking into their general attitude toward you at the present.
And while belief or non-belief in God is perhaps more important within a family that the belief that a certain color of paint is the perfect color to paint a given room, it's still in the same category---you "believe and are convinced" that one color is in fact best while they believe another particular color is best.
And they are not sad about something that you "are," they are sad about the current conclusion you have reached about God and the fact that you are (I assume) disinclined to participate with the family in religious ceremonies.
I certainly understand how you feel and why you feel that way; but if you think about things a little differently, you may feel better about what's going on.