Immorality and Religiosity

From Richard Dawkins' The God Delusion (in which he is quoting Sam Harris):

Sam Harris in Letter to a Christian Nation writes:

While political party affiliation in the United States is not a perfect indicator of religiosity, it is no secret that the ‘red states’ are primarily red due to the overwhelming political influence of conservative Christians. If there were a strong correlation between Christian conservatism and societal health, we might expect to see some sign of it in red-state America. We don’t. Of the twenty-five cities with the lowest rates of violent crime, 62 percent are in ‘blue’ states, and 38 percent are in ‘red’ states. Of the twenty-five most dangerous cities, 76 percent are in red states, and 24 percent are in blue states. In fact, three of the five most dangerous cities in the U.S. are in the pious state of Texas. The twelve states with the highest rates of
burglary are red. Twenty-four of the twenty-nine states with the highest rates of theft are red. Of the twenty-two states with the highest rates of murder, seventeen are red.

Dawkins notes that in the U.S. red is conservative and blue is liberal, which is the opposite of how it is in most of the world. I understand that this data may be anecdotal at best, but you can not deny at least some correlation.

This serves as yet another example of how morality does not come from religion. Examples such as the problems in the middle east and elsewhere can even serve to show that perhaps it is immorality that stems from religion.

Obviously not all religious people are immoral, and not all non-religious people are moral, but trends are trends. Why do people feel such a need for religion, even with evidence such as this?