I think he went to a Mormon church for 3 years or so as a child. I believe he is Catholic now.
http://www.deseretnews.com/article/705365888/Rove-Absolutely-Mormon-can-be-US-president.html
Rove said the exhaustive examination of Romney’s membership in The Church of Jesus Christ of Latter day Saints was unnerving for Rove, who has strong ties to Utah. Rove, who is not a member of the LDS Church, graduated from Olympus High School and attended the University of Utah.