The Dark Eldar serve Slaanesh. Every time they 'feed' on someone's pain or fear, that pain and fear is actually being funneled to Slaanesh (the reason they become all withered and horrific if they don't feed is because Slaanesh eats them instead).
So the Dark Eldar, in their 'natural state,' spend every waking moment serving the needs of a divine (profane) entity, their every action dedicated to this service. Those amongst them who are the most proficient at serving the cruel nature of the entity that controls them are rewarded with strength, vitality, and life everlasting.
A life of servitude for the promise of life eternal is pretty much textbook worship. The Dark Eldar don't call it worship because they can't face the truth: that their just the pawns of Slaanesh.
Those Dark Eldar who have the capacity to face that hard truth and come to Ynnead understanding the nature of their relationship have a hope of something better: a future where their lives are their own again.
Both the Ynnari and the True Kin of Commorragh worship deities. It's just the Ynnari are honest with themselves about it.