Greeting sister Zabel.
Every religion has the same concept of saved people, which only people from this religion who will go to heaven. Religion "A" believe that only follower of religion "A" who will go to heaven. Religion "B" believe that only follower of religion "B" who will go to heaven. Religion "C", "D", "E", etc, have same belief too.
I'm Muslim, live in Muslim majority country, but few of my friends are non-Muslims including Catholics (I also studied in Catholic elementary school). I don't see anything wrong with it because I be friend with non-Muslims only in muamalah (non worship matter), not in ibadah (worship matter). I often go to mosque with my Muslim friends and pray together, but I never went to mosque or church with my non-Muslim friends and pray together.
Friendship between Muslim and non-Muslim is allowed in muamalah matter. They can study together, play together, recreation together, do sport together, etc. But not allowed to do something that related to worship (ibadah) together.