If religious belief (or any belief) is taken to great extremes, there could be mental illness.
However, religious belief is so imprinted into many societies that it is hard to argue that mere belief equates with mental illness. People want to believe there is more than just this life. Various cultures and their religions offer different solutions to the "purpose of life" question.
Non-believers simply think that this life is its own purpose. Those I've communicated with have accepted this and it has motivated them to make each day count.
I don't think wishing for more than this life is a bad thing, but it may not be realistic either.