It’s metaphorical though. Nietzche was atheist.

In the book it appears (The Gay Science), it isn’t Nietzche saying it, but a character called “the madman”.

It’s supposed to represent the existential despair left by the void of the meaning god used to provide.

Like a mourning not of god, but of the rigid epistemologies of the time, a “grass is greener” longing due to the void in meaning left behind.