Well, it isn't like there aren't Christian games out there. The problem is that they are more concerned with preaching to the audience rather than actually telling a compelling story. Even for all my ranting on Assassin's Creed 2 for being too preachy with its anti-religious message, it at least tried telling more of a story, at least in comparison to those games. For the most part, I think people just want a good story, and it doesn't matter if someone wants to explore religion while doing so so long as the story is good.
In any case, there are some games that have touched on religion. Castlevania: Lords of Shadow was basically all about Gabriel's redemption (minus the epilogue and DLC), and they were hardly subtle with the Christian imagery, even going so far as to him asking God for forgiveness for his sins while he is strangling Satan. Xenoblade Chronicles is, essentially, all about breaking from religion, and while I haven't played the other Xeno- games, I've heard that they have similar explorations. Dante's Inferno was similar to Castlevania: Lords of Shadow, but that comes with the territory of being based off of Inferno. I know both Oblivion and Skyrim at least explored the ideas of religion in their worlds, and the exploration had quite a few references to religious exploration in the real world. The Assassin's Creed games also explore religion heavily. Ultimately, it seems like the exploration of religion is hardly a problem for people. It is just the fact that trying to become too preachy while doing it at the expense of actual story, character, and world development stops people from enjoying it.