The obvious questions to this question is "less religious than whom?" and "what Catholics do you mean?"
Catholics are slightly more likely than mainline Protestants to say religion is "very important" in life, but it's true they are noticeably less likely to say this than Evangelicals or Mormons. In most measures Catholics "religiosity" does come out more like mainline Protestants than it does Evangelicals.
Comparative Religions - U.S. Religious Landscape Study - Pew Forum on Religion & Public Life
I think this might be partly due to the transition since Vatican II, but also due to the fact Catholics have relatively high retention among the less religious. For reasons I don't personally understand American Catholics who decide they believe something different than the Church decide this means the Church is wrong and they must change it. Protestants are more willing to switch around to another Protestant church. Also for some "ethnic Catholics" they may stick with it because it's part of their ethnic identity. (Something similar may happen with Greek Orthodox)
However there are still many highly devout Catholics. Vietnamese Americans are very overrepresented in the seminaries. There are some strong Mexican or Central American Catholic communities. Perhaps surprisingly, although not that surprising, the US South has some of the most vibrant parishes in America. Southern Catholics experience being a minority, sometimes a mistreated minority, and I think in a way that makes them try harder to understand why they're Catholic. If we go beyond the US there are some intensely religious Catholics in parts of the Andes, Southeast Asia, and some regions of Africa. Also in the Middle East, the homeland of Christianity. The Maronites of Lebanon or the Melkites of Egypt are in communion with the Pope.
All that said being "very religious" as a Catholic is not necessarily going to "look" the same as being an intensely religious Evangelical or Pentecostal. (A possible exception being charismatics) Catholicism has a strong contemplative component that most Protestantism I think doesn't have or at least not in the same way. An extremely religious Catholic can be a person who lives out in the woods, writes poems, and keeps largely to themselves. There's a documentary called "Into Great Silence" that might give you a sense of, an admittedly extreme example, that kind of intense Catholic. Even among non-contemplatives Catholics are more apt to write Apologias then lecture at street corners. That was true well before Vatican II. Not that it's also intellectualism and contemplation, but I think the emotionalism is at times quieter or smaller in some ways. I probably need to sleep because I'm not sure how to explain that.