As you'd know if you'd seen the movie, Eastwood's character isn't asking this question with any sort of sincerity. He's yanking the priest's chain as he does, apparently, every day when he goes to mass. The priest is on to him, though, and doesn't put up with it.
The priest also tells Eastwood's character that the only people who show up for mass every day, as he does, are people who can't forgive themselves for something. We never learn what Eastwood's done in the past. It may be something to do with the daughter he writes to every week and who returns the letters unread. But Eastwood's character is clearly damned, if only by himself. I think that part of the reason he's able to do what he does at the end is that he feels his soul is already lost.
I saw it last night. I teared up mostly when Swank character starts having boxing success. I expected to feel manipulated at the end (euthanasia) and be angry. I wasn't.