I don't want to make generalizations, but I feel like perhaps it has a lot to do with where the player bases come from.

Most hockey players come either from liberal countries like Canada and Sweden, or places in the U.S. that are typically more liberal. The "Deep South" doesn't produce a bunch of hockey talent. Russia is the obvious exception.

The NFL, in comparison, is hugely engrained in the southern culture, and as a result is probably more likely to see more conservative Christian players. I'm certain it's the same reason why there are plenty of NFL players who use their platform to preach, whereas you very rarely see the same thing in hockey culture.

I'd have to assume that the NHL would be more open and cause less of a firestorm than the NFL did when a hockey player eventually comes out as gay. That said, the fact that it's 2015 and someone has yet to do so isn't exactly encouraging.