You were not obligated to respond to his questions, you were not obligated to explain yourself to him. Therefore, an option would have been to tell him that you are not going to discuss your views about, or experiences with, religion.

It sounds like you would have had to repeat that several times.

“I’m not discussing it.” “Please stop asking me about it.”

You could have taken this option at any time. What l mean is that you could have answered a question or two but then decided to stop answering any more.

Declining to engage could be your approach in the future, the next times you see him.

As to whether you should continue your friendship: Do you like him as a friend? Is he a good friend? Will he respect your wishes if/when you tell him to stop asking about religion?