Religion is less of a vital yield and more of a long-scale tool to be used. It's flexible and very powerful if invested in right, but it's not critical, and pushing it too much may be a bad idea if you can't get good benefits from it. The Celts though are religious powerhouses, basically guaranteed to get the first pantheon, and, in the early game, will be crushing the religion game with barely any effort, provided there's lots of forest territory. They're easily a civ that benefits most from a Piety start, mostly because they start with a Faith output from turn 1. And with that Piety start, kicking off an early Pict-fueled war is very possible, mostly because of Theocracy, one of two Ancient-era policies that give Gold (Monarchy is the other, and might give less, as it only applies to the capital, and up until, say, Civil Service, it'll likely only give maybe 4 GPT at most, whereas Theocracy can increase gold output in every city provided they have a Temple), alongside the numerous Gold-boosting Founder beliefs a Religion gives. Celidh Hall helps manage a bigger empire if you've acquired one by that point, but honestly it should come earlier and be an Amphitheater replacement, Renaissance is a touch late and unfitting for the Celts (same with Persia, Satrap court should replace Market).
They're definitely a fun and potent civ, viewed mostly as weak because of the fact that Faith doesn't provide much up-front, and has more fixed, specific ways to use it.