While I disagree on the "sin" label for gay people, I agree with the rest. If I owned a cake shop, I'm in it to make money, and probably have a good time making cakes. I wouldn't care what you did with the cake! And I imagine this baker has made many a wedding cake for people he disagrees with on religion. 

I'd like to ask him, "Do you think you'll go to hell for making a wedding cake for a gay couple?" Probably not. So it's just discrimination. If you aren't comfortable serving anyone and everyone, then don't open a business to the public.