It's a fact, not disputed by either party, that he offered to sell them a generic cake or one with a different message. So it's not true that he denied them service "because" they were gay.
Thought experiment: Imagine an individual woman went into the store and said to him "My son is marrying his boyfriend this weekend. Can you make a custom cake for them?" The baker says no. Should that be illegal?
Thought experiment #2: Imagine an alt-right troll goes into a Jewish bakery and asks for a cake that says "Jesus is Lord". The baker says no. Should that be illegal?
Thought experiment: Imagine an individual woman went into the store and said to him "My son is marrying his boyfriend this weekend. Can you make a custom cake for them?" The baker says no. Should that be illegal?
Thought experiment #2: Imagine an alt-right troll goes into a Jewish bakery and asks for a cake that says "Jesus is Lord". The baker says no. Should that be illegal?