Religious activity affects genders differently

"Women who stop being religiously active are three times more likely to suffer generalized anxiety disorder than women who have always been religiously active, researchers report.
In contrast, the researchers found that men who stopped being religiously active were less likely to suffer major depression than men who had always been religiously active."

HealthDay News, January 6, 2008

The only thing to be learnt here is that there's a difference between men and women. Stopping to be "religiously active" is not the same as becoming atheists, so what we're talking about here isn't so much the beneficial effects of religion as the beneficial effects of social interaction that incidentally happens in church.
Men probably get bored in church.