They have a point
Ignoring all the religious drivel, they have a point. Read the First Amendment: "Congress shall make no law respecting an establishment of religion, or prohibiting the free exercise thereof; or abridging the freedom of speech, or of the press; or the right of the people peaceably to assemble, and to petition the Government for a redress of grievances."
Read the first word. "Congress shall make no law..." Doesn't say a word about whether the individual states can make laws regarding religion, speech, etc.
(But how these nuts get from that to "The Religion of America," which is "nondenominational" Christianity, is a bit of a mystery.)
But compare the First Amendment with the Second Amendment:
"A well regulated Militia, being necessary to the security of a free State, the right of the people to keep and bear Arms, shall not be infringed."
This doesn't just a prohibit the US Congress from infringing on the "the right of the people to keep and bear Arms," it flatly prohibits any level of government in the country from doing so.
And there's certainly no constitutional basis for Social Security, the Federal Reserve or the Environmental Protection Agency, ipso facto making them technically unconstitutional, at least not without a lot of distortion of the likely meaning of various bits of the Constitution. (You might, I suppose, try to justify Social Security as a tax, but it appears to violate the apportionment clause of Article I, Section 9, but even that only allows Congress to collect the tax—there are no constitutional provisions for funding entitlements.)