That depends.
If you believe in Zeus, but not Thor, then you're probably a Greek pagan.
If you believe in Thor, but not Zeus, then you're probably a Nordic pagan.
If you don't believe in either one, but you believe in the God of the Bible who revealed himself to us in Jesus Christ, then you're probably a Christian.
If you believe that no gods exist at all, neither Zeus, nor Thor, nor the God of the Bible, nor any others, then you're an atheist.
If that description of an atheist is not what you are, but you merely lack belief in any of those gods without positively disbelieving in them, then you're an agnostic.
So what are you when you don't believe in Santa?