That's a terrible example. No one, individual or government, is forcing anyone to do anything of the sort.
It is entirely within the right of the business owner to decline a request to bake a cake they don't want to bake.
Can there be social repercussions for said action? Of course. Do people have the autonomy to decide not to give a business their money for whatever reason? Absolutely.
I wouldn't give them my money because, I'm sorry, if your "religion" is based on oppression and denial of other humans their basic rights, then no, I won't support you. Fuck off.
(Ironic as I know this incident and it's based on Christian religiosity, which following the actual teachings of Jesus would welcome the stranger, the wanderer, the sick, and the hungry. Regardless of whether they believe or not, they are all God's children. Given that Lucifer has no power of creation, only trickery, and God created all of his children, would that not imply Chrisitians should be accepting of Gods children in all their myriad forms, and to hate another is to fall for the trickery of Satan? That's not religion, that's just rationalizing bigotry. So double fuck off.)