The theory is around. Houghton M. mentions it more fully than I did to discredit it. His sources might be a place to start if you’re interested.
No doubt the Vikings raided other heathens, and when surrounded by Christians and of a mind to raid, it would have been hard not to raid Christians. Their interest in religious issues on the continent, of which Denmark is a part, would have been related to watching one group of followers of Odin and Thor be mass murdered by their Christian neigbors, and wondering if that’s something to expect from Christian neighbors.
I don’t think the theory, or hypothesis, that there was a connection posits that there was an Odinist holy war against the Church of Rome, of which raids on coastal monasteries and churches were just a few battles.
Can I buy an ‘h’? I’d like to solve the puzzle: neighbors.