I believe this is the story with Cutie (nickname for QT-1) who invents a religion to justify its existence. The amusing thing was that the rituals of its religion consisted of making sure the space colony functioned properly, so the humans decided to leave the robot's faith alone. And the robot thought that the humans were mindless religious fools for believing in Earth:
"""The robot approached softly and there was sorrow in his voice. “You are going?”
Powell nodded curtly. “There will be others in our place.”
Cutie sighed, with the sound of wind humming through closely spaced wires. “Your term of service is over and the time of dissolution has come. I expected it, but -- well, the Master’s will be done!”
His tone of resignation stung Powell. “Save the sympathy, Cube. We’re heading for Earth, not dissolution.”
"It is best that you think so,” Cutie sighed again. “I see the wisdom of the illusion now. I would not attempt to shake your faith, even if I could.” He departed -- the picture of commiseration."""
--"Reason" by Isaac Asimov