As with so many of these kinds of popular quotes, there are some other things at work, some of which, I would say, are a bit insidious ("causing harm in a way that is gradual or not easily noticed"). Keillor is not a Catholic. Hence, it would be wholly unfair to expect whatever theology he might convey through his radio show and his writing to meet that standard. Nonetheless, there are two observations I wish to make about this over-used quote. The first has to do with reducing faith merely to morals and the second has to do with the indispensability, at least from a Catholic perspective, of "going to Church," which means to participate, fully, actively, and consciously, in the sacred liturgy, in the holy Eucharist.
Regarding my first observation, I think C.S.Lewis, when he made the analogy between being a Christian and being a gentleman, wrote about all that needed to be written. In short, being good does not make you a Christian. It's much more accurate to call a person gifted with faith, but poor in praxis, a "bad" Christian than it is to call a person who believes in something else, or nothing at all, but who does good things, a Christian.
It strikes me as more than a little arrogant to call a person who believes in something else, or nothing at all, but who does good things, a Christian. Let's be honest, Christians do not have a monopoly on doing good. That stark reality might make some Christians angry, but it's the truth.
A prerequisite for being a Christian is the realization that you are not a good person. The next realization a Christian must have is that even though you are not good, you are infinitely loved. Only love, being loved and then loving, can make us better people, by the grace of God. With Evelyn Waugh, I invite everyone to ponder "how awful I'd be if I weren't a Christian."
I think quotes, like the one by Keillor, are often used by Christians as an excuse for not going to Church. I want to ask these brothers and sisters of mine, in the vein of St Paul, "Are you really that convinced of your own goodness?" Or, perhaps, "Are you so harshly judging the 'badness' of your sisters and brothers who attend, dismissing them as 'hypocrites,' that you stay away?" That going to Church, participating in and receiving the holy Eucharist, is an indispensable part of the that process is borne out by this, from a sermon by St Augustine:
So if it's you that are the body of Christ and its members, it's the mystery meaning you that has been placed on the Lord's table; what you receive is the mystery that means you. It is to what you are that you reply Amen, and by so replying you express your assent. What you hear, you see, is The body of Christ, and you answer, Amen. So be a member of the body of Christ, in order to make that Amen true (Sermon 272)