I was wondering the same thing. The US isn't a homogeneous blob, neither is Europe. For instance you'll likely find that religion is much more important in Poland than it is in France. In much the same way, I suspect, as in Alabama vs California.
And I'm willing to bet that Poland, the most religious state in the EU, is less religious than whatever is the least religious state in the US.
https://www.pewresearch.org/fact-tank/2015/12/23/americans-a...
The graph you linked is a bit silly. The values are skewed by a bunch of African nations with a very low Human Development Index. Europe & the US are much more balanced in that regard, and you might want to consider comparing like for like.
Wikipedia's "Importance of Religion by Country" [1] page seems to rank Poland squarely above the US in terms of how important religion is -- based on a Gallup poll. There's a page [2] ranking the US states by similar metrics in case you're interested.
[1] https://en.wikipedia.org/wiki/Importance_of_religion_by_coun... [2] https://en.wikipedia.org/wiki/List_of_U.S._states_and_territ...