Allah says; 

وَقَالُواْ كُونُواْ هُودًا أَوْ نَصَارَى تَهْتَدُواْ
 
قُلْ بَلْ مِلَّةَ إِبْرَاهِيمَ حَنِيفًا وَمَا كَانَ مِنَ الْمُشْرِكِينَ
 
 

And they say, "Be Jews or Christians, then you will be guided." Say (to them O Muhammad), "Nay, (we follow) only the religion of Ibrahim, Hanif (Islamic Monotheism), and he was not of Al-Mushrikin (those who worshipped others along with Allah.

Muhammad bin Ishaq reported that Ibn Abbas said that Abdullah bin Suriya Al-Awar said to the Messenger of Allah,

"The guidance is only what we (Jews) follow. Therefore, follow us, O Muhammad, and you will be rightly guided."

Also, the Christians said similarly, so Allah revealed, 
وَقَالُواْ كُونُواْ هُودًا أَوْ نَصَارَى تَهْتَدُواْ
 (And they say, "Be Jews or Christians, then you will be guided").

Allah's statement,

قُلْ بَلْ مِلَّةَ إِبْرَاهِيمَ حَنِيفًا

Say (to them O Muhammad), "Nay, (we follow) only the religion of Ibrahim, Hanif.

means, "We do not need the Judaism or Christianity that you call us to, rather, 
مِلَّةَ إِبْرَاهِيمَ حَنِيفًا
 ((we follow) only the religion of Ibrahim, Hanif) meaning, on the straight path, as Muhammad bin Ka`b Al-Qurazi and Isa bin Jariyah stated.

Also, Abu Qilabah said,

"The Hanif is what the Messengers, from beginning to end, believed in.