Believing in nothing is easy; it's much harder to be a Christian in America today and to have courage to stand up for your faith. This makes Christians stronger in comparison to atheists.
Some religious believers, though mostly Christians in my experience, seem to have a need to perceive themselves as being persecuted and oppressed. Despite controlling all the levers of power in the American government, some Christians act like they are the powerless. I believe that this myth is a symptom of that attitude: the perceived need to be the one who is struggling the most and who is having the hardest time. The truth is that being religious in modern America is not a hard task.
Why do Christians feel the need to believe this? It's possible that the growing American focus on victimhood plays a role. Sometimes it seems like you can only get attention in America if you're a victim of violence or oppression, and so everyone wants to be able to claim that they are the victim of something. I believe, though, that whatever role this cultural phenomenon may play, the roots go much deeper: Christians' self-perception as victims of persecution at the hands of the powerful is an integral part of Christian theology, history, tradition, and scripture.
There are several verse in the Bible which tell Christians that they will be persecuted for their faith. In John 15 it says "Remember the word that I said to you... If they persecuted Me, they will also persecute you... because they do not know Him who sent Me." Matthew 10 says Behold, I send you out as sheep in the midst of wolves. Therefore be wise as serpents and harmless as doves. But beware of men, for they will deliver you up to councils and scourge you in their synagogues....But when they deliver you up, do not worry about how or what you should speak. For it will be given to you in that hour what you should speak; for it is not you who speak, but the Spirit of your Father who speaks in you."
Many of the passages about persecution either apply only to Jesus' time or they are about the "End Times." Many Christians believe that passages about Jesus' time apply for all of time, and other Christians believe that we the End Times are coming soon. It's thus not surprising that many Christians today sincerely believe that the Bible teaches that they will be persecuted for their faith. The fact that Christians in modern America are often doing well financially and politically doesn't matter; if the Bible says it, then it must be true and they will find some way to make it true.
It's true that sometimes the religious rights of Christians are infringed upon improperly, but it is quite rare for those cases not to be fixed and settled relatively quickly. The rights of religious minorities, however, are much more frequently infringed upon by Christians in the majority and when Christians' rights are infringed upon, it's more likely to be because of other Christians themselves. If there is any difficulty in not being a Christian in America, it's certainly not because Christians are being persecuted by non-Christians. America is not the Roman Empire.
Ultimately, though, it's just not possible to give much credence to the complaint that Christians have much difficulty in being Christian. When almost everything around you reinforces your beliefs, from family to culture to church, it can be fairly easy to remain a believer. If there is anything that makes being a Christian difficult, it's the failure of the rest of American culture to actively promote Christian faith at every possible step. In that case, though, it's just a sign of the failure of churches and faith communities to do more.
Atheists, on the other hand, are the most despised and distrusted minority in America that's a fact, demonstrated by recent studies. Many atheists have to hide what they believe and who they are, even from their families and closest friends. In such conditions, being an atheist isn't easy certainly not easier than being a Christian in a nation where most people are Christian of one sort or another.
Perhaps the most important thing, though, is that which is "easier" is ultimately irrelevant when it comes to which is more reasonable or justified. If Christianity is harder, that doesn't make Christianity more "true" than atheism. If atheism is harder, that doesn't make atheism more reasonably or rational than theism. This is only a topic cared about by people who think it makes them better, or at least look better, if they can claim that they are suffering for their beliefs.