The screen legend stars in new supernatural thriller `The Rite` - in which he plays Father Lucas, a Catholic priest who specialises in exorcisms - and he admits the role made him evaluate his own beliefs about religion.
When asked if he believes in God by Piers Morgan on his CNN talk show, he said: "Yes, I do. I`m not an atheist. I don`t know what it is. None of us do.
"But everything is God. Everything is particle physics. I`ve read everything I can. I started reading Charles Darwin`s `The Origin of the Species` - I believe in a God that Einstein believed in, a sort of Spinoza kind of interpretation."
Although he believes in the concept of a creator, Anthony doesn`t agree with the dogma imposed by organised religions.
Instead, the 73-year-old star believes fundamental certainty in life can cause much misery.
Discussing the absolute beliefs of organised religions, he said: "I think it is dangerous. Certainty is responsible for some of the most awful terrors in the world.
"I made a point in the film (`The Rite`), I was saying to the young priest, `So what do you believe in? The truth? Oh, yes, the truth. Look where that got us. Hitler, Stalin - they know the truth.`
"I know atheists, brilliant atheists. I enjoy reading Christopher Hitchens, I`ll examine everything. But, what I enjoy is uncertainty.
"There`s lines in this movie where I say, `Cherish your doubts because there God is hiding.` I don`t know. You don`t know. None of us know.
`Piers Morgan Tonight` airs daily on CNN International at 20.00 GMT. For more go to www.piersmorgantonight.com