We living entities, we have got a dharma, or religion. That we cannot change. What is that? A living entity is servant. We are all living entities, but we are all servants at the same time. Is anyone here who can say that, "I am not servant of anyone"? No. That is not possible. Everyone is servant. Everyone is servant. That is the definition given by Lord Caitanya, jīvera svarūpa haya nitya kṛṣṇa dāsa (Cc. Madhya 20.108-109): "A living entity is eternally servant of God." That cannot be changed.
Just like you are citizen of this Australian state, so you must have to abide by the laws of the state. You cannot change it. If you say that, "I don't want these laws," you will be forced to abide by the laws. You cannot change it, or you cannot make law at your home. Law is enacted by the government. Similarly, we should understand religion means you cannot change, and it is enacted by God. Dharmaṁ tu sākṣād bhagavat-praṇītam (SB 6.3.19). That is the definition given in the Vedic literature.