How do religious people explain this?

To begin with, I feel as though you should narrow the scope of this question, as "religious people" is a not a term that is synonymous with "monotheist." Someone who faithfully practices, say, Shinto, or a form of neo-paganism, or any polytheistic or non-theistic religion is, as far as I can tell, excluded from mention in your Ricky Gervais quote.

As for me, personally, I'm not entirely sure why I should care to explain it. I grant that my faith is as a result of having been born Jewish, though I was not brought up religiously and only really embraced Judaism as a religion later on in life. But, then, as part of Judaism, I also believe that, in a future, glorious age, everyone, not only my people, will believe in HaShem as we understand him. You can call this "luck," if you want to (although in our theology, the fact of Jewishness imposes restrictions and punishments upon a person far beyond what gentiles have to deal with, so perhaps it is an even deal), and I suppose you wouldn't really be wrong. But, for my part, I see nothing inherently wrong with believing in an ancient monotheistic tradition that is directly tied to my ancestry, just as I do not denigrate those who, for similar reasons, believe in different traditions. I may not think their traditions are "correct," of course, but by the same token I don't think that they will suffer any temporal or eschatological torments which I will avoid simply on the basis of luck.