Villains who commit atrocities in the name of religious convictions have a nasty habit of not dying. Here are the reasons why:

A. They are simply bulletproof and cannot be killed by holy water and other such means of destroying unholy beings.

or...

B. They already died and sold their body to science, but still maintain the good fight in the name of some deity.

or...

C. They live on through generation after generation because they exist by feeding on negative emotions and sin. And let's face it — there's no shortage of either of those.

or...

D. They actually made contact with an immortal and they have been imbued with a fraction of their power.

So, let's face it — unless you have the backing of some ultra-powerful, benevolent god yourself, you are basically screwed if you go up against a religious villain.