"Losing my religion" is a Southern US idiom meaning losing one's temper, composure, or reaching the end of one's patience. It has nothing to do with religion itself. First to Eleven made an excellent cover of this song.

Losing My Religion - R.E.M.
CHORD FORMATIONS:
F------- 1 3 3 2 1 1
Dm------ x x 0 2 3 1
G------- 3 2 0 0 0 3
Am------ x 0 0 2 1 0
Am/B---- x 2 x 2 1 0
Am/C---- x 3 x 2 1 0
Am/D---- x x 0 2 1 0
Em------ x 2 2 0 0 0
Intro: F Dm G Am Am/B Am/C Am/D Am
F Dm G Am
GOh, life is Ambigger
EmIt's bigger than you
AmAnd you are not me.
EmThe lengths that I will go to,
AmThe distance in your eyes,
EmOh no, I've said too Dmmuch,
GI set it up.
That's me in the corner
That's me in the spotlight, losing my religion
Trying to keep up with you
And I don't know if I can do it
Oh no, I've said too much
I haven't said enough
GI thought that I heard you Flaughing
DmI thought that I Gheard you Amsing Am/B Am/C Am/D
AmI think I Fthought I Dmsaw Gyou Amtry
Every whisper, of every waking hour
I'm choosing my confessions
Trying to keep an eye on you
Like a hurt, lost and blinded fool, fool
Oh no, I've said too much
I set it up
Consider this, consider this
The hint of the century
Consider this, the slip
That brought me to my knees, failed
What if all these fantasies come flailing around?
Now I've said too much
CBut that was just a Ddream
CThat was just a Ddream
That's me in the corner...
I thought that I heard you laughing
I thought that I heard you sing
I think I thought I saw you try
FBut that was just a Dmdream, Gdream
Am Am/B Am/C Am/D AmTry, cry, fly, try
FThat was just a Dmdream
GJust a dream, Amjust a dream, Gjust a dream, Amdream
GJust a dream, dream