Because if you’re stuck in the middle of a wintery hell, you’re probably going to spend a lot of time praying.
The Worldwide Antarctic Program has built seven buildings that can be used for religious worship services on the continent. These buildings are mainly for Christian worship, but the Chapel of the Snows can be and has been used for Buddhist and Bahai ceremonies. There is also talk of building a Catholic chapel at Mario Zucchellio Station, Terra Nova Bay.
There are also a couple churches situated on islands south of the Antarctic Convergence and north of the 60 S latitude (and thus not part of the continent). These include the Notre-Dame des Vents on the island of Kerguelen (population 70 in the winter, 110 in the summer) and the Norweigian Lutheran Church on the island of South Georgia (population 30).