I agree it depends on the situation, and how well you know the people concerned.
Though not specifically with regard to Catholics, I have faced a fair amount of bigotry and racism in my life. I grew up in quite a volatile inner city neighborhood in NYC… there were many different cultures and religions present and lots of misunderstandings which often escalated and turned violent. If you are at all concerned for your personal safety, then I would agree to not say anything is probably best. However, if safety is not an issue, then I would respectfully disagree with any hateful statements being made. That is just me though, I tend to speak my mind, but I know its difficult for many people.
I learned a method for dealing with unkind remarks from my highschool principal (who also happened to be a Sister) and I have used this method with much success. It sounds a bit funny, but she suggested that when someone makes an unkind remark about another person or group of people, to treat as if they were stating something very minor, such as that they hated vegetables or hated a certain TV program. Then, act mildly surprised (though not sarcastic) and say something to the effect of, “Oh really? I like such and such” or, “Oh? I’ve not had that experience. Interesting…” I almost always say something to that effect, in a very mild and non-judgemental way, and I find it really works. Most people are quiet after that, and seem embarrassed. It diffuses the situation. And hopefully, it makes them rethink what they’ve said. It also leaves the floor open so to speak, if they do want to discuss it further. I did have someone speak to me once about hating Jews (I am a Jew by birth!) and I was able to have a good discussion with them about it. It was only later on that they realized I was Jewish and I think it was a revelation for them, a good one.
I suppose because of the neighborhood I grew up in, I like to give people the benefit of the doubt, especially if I don’t know their situation well. Their bigotry or racism may have a cause based on traumatic events or deep-seated misunderstandings. Not necessarily, but I would never jump to conclusions that they are being judgemental for absolutely no reason. If you’ve seen the movie “Crash” that is a good example of what I’m talking about… people of different races and cultures interacting with each other in Los Angeles and having all sorts of misconceptions based on pain they have experienced in their lives. Not condoning people’s words or actions by any means, but I do understand how things can escalate quickly as I’ve seen it firsthand too many times growing up.