Aren't they? Sure, western religious oppression is not violent and nothing compared to what happens in say Iran. But there are many circles where coming out as religious is a terrible idea and religious people feel it and end up self-suppressing and hiding their identity. Who wants to be known as the Christian when the world has decided they are idiots at best or villains at worst? You never quite know when it's safe to open up and when you could face sudden social exclusion, bullying, internet mobs, career impacts, etc.
If this comment were under my real name I'm not sure I'd have dared type it with the way the winds are blowing. Even with anonymity, it's giving me pause whether it's really a good idea.