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I don't think this is true. The reason you may have that perception is because SE European Muslims are often said to be irreligious due to always being compared to Afro-Asian Muslims. People often use Albanians and Bosniaks as famous examples of Muslims that aren't obsessed with jihad, sharia, etc. and culturally European people. When the religiousness of Christian SE European people is brought up, its often in comparison to that of Western European (and Anglosphere) Christians, who are significantly less religious than any religious group in SE Europe. So when you put these two comparisons together, you end up with irreligious Muslims and religious Christians.
Another place where this happens is Russia (excluding the Caucasus). In Russia, Tatars are shown as an example of Muslims that can easily integrate and aren't Islamist in their thinking. Whereas ethnic Russians in the West are brought up as an example of a Christian people who are still stuck with a backwards religious mindset based on the fact that they're anti-LGBT, anti-feminism, etc. So when you combine the stereotypes regarding Turkic Muslims of Russia together with the stereotypes of ethnic Russians, then you get the impression that Tatars are irreligious Muslims whereas ethnic Russians are some very religious people. However, the reality is that both are conservative by Western standards and both would be seen as very irreligious by the standards of Afro-Asian Muslims.
I don't know if it really is different in Cyprus, but I'd imagine that SE European Muslims and Christians are both equally religious for the most part with a few exceptions. These exceptions are Sanjak Muslims and the Albanian Muslims living outside Albania where the Muslims tend to be more religious. In Bulgaria, the Muslims are said to be less religious than the Christians. People from Albania (of all religions) may be less religious than the rest of the Balkans since there was a more brutal suppression of religion there during Enver Hoxha's communist regime (they don't even have a large mosque in Tirana yet), but their conservatism is still likely on a similar scale. As a whole, I don't think there's a significant difference between Christians and Muslims in the Balkans. Even though Balkan Muslims are irreligious by Afro-Asian standards, religion still does play a part in their life and is an important part of their identity. They aren't Northwest Europeans after all.
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