It's one of the more pressing questions of contemporary pagan theology.
What happened to the pagan gods during the centuries of the Great Interruption?
Did they fall asleep? Did they go away?
In the Baltics, the Old Ways lingered long. In Latvia, the Thunderer of the old pantheon—Perkons (= Perkunas, Perun, etc.)—came to be identified (among others) with “Saint” Martin.
“Martin carries nine Perkonses under his cloak,” was the saying.
Did the Old Gods abandon their people?
No, indeed. They've never abandoned us, and They never will.
They wrapped Themselves in other cloaks and waited.