Actually, James Madison was a federalist, and he wrote the Bill of Rights. Alexander Hamilton though, did not feel the need for a Bill of Rights because the Constitution is a restraint on government, not the rights of the people. He apparently could not fathom a scenario where government would even be in a position to question individual rights, or infer that the people aren't entitled to them. So, in that respect, to say that the Federalists didn't want a Bill of Rights is disingenuous -- it wasn't that they didn't believe in individual rights. They simply did not recognize the need to specify them in the Constitution.
I also believe that rights do not come from the state. I believe individual rights are inherent among all of us, regardless of how we perceive their spiritual or nonspiritual origins.
By the way, Thomas Jefferson was also an anti-federalist, among many other things. But you will get strong disagreements, even from evangelicals, that he was far from a Christian. We need to be careful not to lump all industrialist's into one specific set of religious beliefs.
Oh, and one other thing, George Mason was a devout Christian.