I'm not entirely clear on what you mean by "intelligent, evolved species." All species are evolved, and all species are intelligent. I'm going to assume you mean something to the degree of "would you expect biological organisms that are cognitively, behaviorally, and/or culturally similar to humans to create religions?" Yes, yes I would. Religion is notoriously difficult to define and something of a Western construct, but the substance of it appears inherent. Any and all cultures must wrestle with values and norms, whether it's "what is my purpose" or "what is the right relationship to my parents." That's religion, in basic. It provides a structure for articulating values and norms, which manifest as stories or narratives, cultural traditions and rituals, doctrines and teachings, and so forth.