Bear in mind that in the ancient world, there wasn't necessarily a sharp distinction between "philosophy" and "religion". There is evidence that the ancient Greeks and Romans considered the "Brahmanas" (Hindus) and "śramanas" (Buddhists) to be simply different schools of philosophers.

From wikipedia:

In the 2nd century CE, the Christian dogmatist, Clement of Alexandria recognized Bactrian Buddhists (śramanas) and Indian gymnosophists for their influence on Greek thought:

"Thus philosophy, a thing of the highest utility, flourished in antiquity among the barbarians, shedding its light over the nations. And afterwards it came to Greece. First in its ranks were the prophets of the Egyptians; and the Chaldeans among the Assyrians; and the Druids among the Gauls; and the śramanas among the Bactrians ("Σαρμαναίοι Βάκτρων"); and the philosophers of the Celts; and the Magi of the Persians, who foretold the Saviour's birth, and came into the land of Judea guided by a star. The Indian gymnosophists are also in the number, and the other barbarian philosophers. And of these there are two classes, some of them called śramanas ("Σαρμάναι"), and others Brahmins ("Βραφμαναι")." Clement of Alexandria "The Stromata, or Miscellanies" Book I, Chapter XV

(http://en.wikipedia.org/wiki/History_of_Buddhism#Hellenistic...)

Before then few Westerners would have even heard of Buddhism.

To the contrary, see also:

http://en.wikipedia.org/wiki/History_of_Buddhism#Expansion_o...

http://en.wikipedia.org/wiki/History_of_Buddhism#Greco-Buddh...

http://en.wikipedia.org/wiki/Greco-Buddhism

http://en.wikipedia.org/wiki/Indo-Greeks

http://en.wikipedia.org/wiki/Buddhism_and_the_Roman_world

http://en.wikipedia.org/wiki/Roman_trade_with_India