to be annoying. A small subset that might try to imply extra righteousness or something would be annoying. But identifying with the school's teams because the teams are made up of a high percentage of church members is a perfectly valid reason to be a fan.
Similarly, if somebody isn't LDS and they want a local team, so they pick Utah that's a lot different than the vocal group that wants to use Utah fandom as an excuse to spew their hatred.