Dušan’s analysis is OK, but it’s more complicated than that.
My grandfather called himself “Crnogorac primorac”, which translates to Seaside Montenegrin. He was Catholic, not Orthodox. If you put a gun to his head and asked him to pick whether he’s Croat or Serb, I think it would have been easier for him to say “Croat”. But he wouldn’t say that without a gun to his head.
Another example: there is fair number of Muslim Montenegrins. When, in the early 1990s, Bosnian muslims started calling themselves Bosniaks (“Bošnjak”, plural “Bošnjaci”), instead of Muslims as they were previously known, everybody expected muslims in Sandžak (the region between Serbia and Montenegro) to call themselves Bosniaks as well. And some of them did. But most muslims in Montenegro didn’t go for it. In census, they still pick Muslim Montenegrin.
I believe this is similar to the way muslims in Bulgaria and Macedonia identify.