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Jehovah’s Witnesses are often asked this question. In fact it is a FAQ on our official website.
The answer given here may be helpful to anyone trying to formulate a polite response to such a question.
Those who are serious about religion should think that the one they’ve chosen is acceptable to God and Jesus. Otherwise, why would they be involved in it? Jesus Christ didn’t agree with the view that there are many religions, many roads, all leading to salvation. Rather, he said: ““Narrow is the gate and cramped the road leading off into life, and few are the ones finding it.”” (Matthew 7:14) Jehovah’s Witnesses believe that they’ve found that road. Otherwise, they’d look for another religion.