The premise of your question is wrong as many would classify 'Islam' as a major religion and it is primarily found in the Middle East, North Africa and parts of Asia. If you were to ask, 'Why were many of the major denominations of Christianity born in WE,' then that would get another answer.
There were three major religions found in medieval Europe. They were Judaism, Islam and Christianity. Of course there were many other religions practiced but these three represented the majority of the population.
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Oman is a Muslim country in which you will rarely see other religions.
Russia is part of Europe. The Russian language is similar to the languages of some of the other countries of Europe, including:BelarussianUkrainianBulgarianPolishCzechSlovakSloveneSerbianCroatianBosnianMontenegrinMacedonian
Buddhism. Other Indian religions are grouped together under the term, Hinduism.
Judaism, Christianity, Sikhism, Zoroastrianism, & Baha'i.
Deities, rituals, and congregations tend to be common to most traditions.
Other than what? - Various religions have been divided into sects; this seems to be something like a general tendency.
Catholic religion and Greek Christianity are somewhat similar, but other Greek religions are not similar to the Catholic religion.
Christianity and Islam
It is unclear what the "other" religions are from the perspective of this question. Please read the Related Question which discusses all three major religions that make claims to Jerusalem. All other religions are not affected by that city except tangentially through the three monotheisms.