They used to.
Some states even had a state sponsored and state supported religion (Congregationalism). "State government support for Congregationalist churches did not end until 1818 in Connecticut and not until 1834 in Massachusetts."
-- mb-soft.com/believe/text/congrega.htm
The U.S. Constitution's Bill of Rights, as originally drafted and ratified, only applied to the federal government. The states were guided by their own state constitutions.
The 14th amendment, ratified in 1868, was used by the courts to "incorporate" some of the BOR and make them applicable to the states. Some examples:
The 1st amendment "Freedom of Speech" was incorporated in 1925 in Gitlow v. New York,
The 1st amendment "Freedom of the Press" was incorporated in 1931 in Near v. Minnesota.
The 4th amendment "No unreasonable search" was incorporated in 1949 in Wolf v. Colorado
Since the early 60's, almost every clause in the Bill of Rights has been incorporated (notable exceptions are the 2nd and 3rd Amendments, the grand jury indictment clause of the 5th Amendment, and the 7th Amendment).
The one problem with incorporation is that the USSC now interprets the amendment for all states. If nude dancing is protected "speech" under the 1st amendment, then all states must allow it. Flag burning was deemed constitutional by the USSC and must be allowed by all states. I'm sure you can think of many others.
Imagine if the 2nd amendment were incorporated and a liberal USSC ruled that "bear arms" did not include concealed carry. Or that "arms" were limited to rifles.
The Founding Fathers trusted their state. They were proud of the state in which they lived. They even identified themselves by their state.
To think that they would entrust their basic rights to the newly formed federal government is laughable.
Then States would continue to decide the issue.
Or that "arms" were limited to rifles.
Then State and Federal laws banning rifles would be unconstitutional. Sounds good to me!