Both species engaged in ritual behavior of some sort. This may not constitute what we think of as "religion". But the root word in Latin means "that which binds", with the sense of bringing/keeping a community closer together. In this context, we can certainly put H. neandertalensis, as well as H. sapiens, ritual behaviors into the category of religion. They didn't necessarily believe in supernatural beings, but they pretty clearly believed in something beyond their tangible experience.