You probably were too late to start one. Check the Religion screen where it gives an overview of how much cities each religion possess and check at the bottom how many religions are still able to be founded.
7 Religions is the max on Huge map (12 players)
6 Religions is the max on Large maps (10)
5 Religions is the max on Standard Maps (8)
4 Religions is the max on Small maps (6)
3 Religions is the max on Tiny maps (4)
and 2 Religions is the max on Duel maps (2)
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