In the world of The Great Gatsby, there is no moral center. Every character is shown to be selfish, delusional, or violent. Even Nick, who, as the narrator, is ostensibly meant to reflect on who is good and who is bad, turns out to be kind of a misogynist bigot. It’s not surprising that none of these characters is shown to have faith of any kind.
The closest any of them come to being led by an outside force, or voice of authority, is when Tom seems swayed by the super racist arguments of a book about how minorities are about to overwhelm whites. So it makes sense that Nick, whose job it is to watch everyone else and describe their actions, pays attention to something else that seems to also be watching – the billboard with the eyes of Doctor T.J. Eckleburg.