For one thing, some players won't go because they are not religious or believe in another religion. It's like going to a night club with some friends and you're the only one not getting in because you're not old enough. You will feel left out afterward as well. It doesn't make sense for a person with authority, the coach in this case, to take the their workers/players/colleagues to places that will exclude some people (if any) from going.

 "That baptism was absolutely fun! You should have went. Oh wait you're Jewish, never mind."

 "Gee fucking thanks."