I suppose if someone truly believed they would go to hell for contributing to a gay wedding then i wouldn't want them to be obligated to do so. And I'm sure there are people who believe this (although to me it seems like God would value love and caring for one another "love thy neighbor" over... whatever value people think they're demonstrating by refusing service).
It's complicated, because I can't claim to know what people are thinking. But laws that allow businesses to discriminate on these kinds of basis are risky because they also allow people to discriminate simply because they don't like a certain group of people, and that doesn't sit right with me.

Still, if you are a gay couple trying to marry (this is the most common example so I'll run with it) you probably would prefer to work with a florist/cake maker/whomever who doesn't think they'll go to hell just for helping you with your wedding.
The problem arises when/if there isn't access to those kinds of services from non-discriminatory businesses.

Thanks for the thoughtful comment. There's certainly a lot to consider here