It bothers them if they are compelled to support something that they don’t believe is right. Would you like to have someone compel you to print t-shirts for the KKK? If not, why? It’s not hurting you to do that, so what’s the problem? If you don’t see anything wrong with the KKK example, then I believe you are just joining too many others who want to take political correctness way too far. While no same-sex couple has actually asked for this business’s services, the fact that there’s a law in place that would compel them to do so is enough to lodge a complaint.
I will agree with you that they should not be trying to get an exception based on religion. That is far too narrow. The big picture is that no one should be compelled to create something they do not want to create, regardless of whether or not they receive money for doing so. The mere fact that someone has money to spend does not mean they have the right to force people to do their bidding.