That was a good question, and it piqued my curiosity, because I really didn't know. I could not remember hearing anything about his religious background or faith, but the Rocky films have been said to reflect a lot about his life and his beliefs by many people.
I turned to Wikipedia, and found this: Stallone stopped going to church as his acting career progressed. He began to rediscover his childhood faith when his daughter was born ill in 1996, and is now a churchgoing Catholic.
So it would appear that he is, indeed a Catholic.
Thanks for the great question.