They don’t come around anymore, but I used to say that I was disfellowshipped/excommunicated, whichever was fitting for whatever religion they were selling. If they ask why, which they basically never do, just say “I’d really rather not talk about it, if you don’t mind…”

They don’t actually want to waste time talking to people who were kicked out of the church for “bad behavior”, and in many cases aren’t even allowed to, so they blacklist your address.

No soliciting signs typically do the job, too, though.