We're still an ethnic group. We have our own customs and have remained largely unassimilated (for a variety of reasons). Judiasm is more than a religion. It is a culture. My grandmother was born in Poland. She's definately not Polish by any means.
Well, Ashkenazic Jews form an ethnic group, for sure. But what are the common ethnic featuers uniting Michael Bloomberg, David Egulilashvili, Izak Benhabib and Santiago Alghazi (all real Jewish names)? There are a number of ethnic groups sharing Jewish faith - Ashkenazim, Sefardim, Georgian Jews, Central-Asian (Bukhara) and Persian Jews, Yemenis and a few other well defined groups . Still, most American Jews are Ashkenazic (i.e., those with ancestry in Central and Eastern Europe, speaking until recently some variety of Yiddish). That is an ethnic group, no doubt, very distinct from the majority population of those countries. But where do you find separate data on that group - who knows?