Very true. However, we're looking at it from a anthropocentric frame of mind. They may have a god-concept that is totally alien to us. They may consider themselves to be gods, that they create the world as they look at it, and if they were to die out as a species, the world would end, for one idea that I could come up with off the top of my head.
As to Jesus, I'm sure they wouldn't have a figure that looked like our concept of Jesus, but it may very well have a figure who sacrificed himself to save them in some way.
Either way, I look forward to the day this becomes more than just an academic exercise.