I’m only taking a personal guess at what Lenny meant.
Lenny was quite the cynic about organized religion. So I think he meant that many of the people who call themselves Christians are actually just going to “Church” for reasons that don’t truly reflect Christian(or other organized) religious values. Many churchgoers are piously attending church on Sunday(or other days of worship) but then go out the rest of the week and exhibit behaviour that belies their religion.
My favorite Lenny quote which might fit here.
To be fair, there was a tag line to Lenny’s above quote which shows that, while he truly hated hypocrites, he was first and foremost a comedian. The tag line was