You should probably understand the law better. Proprietors are required to offer all services equally to customers. If they make wedding cakes, they can't decide not to make wedding cakes for someone in a protected class. Refusing to make a wedding cake for one customer because they are gay, is a violation of law in Colorado, because it violates that part of the law that requires a proprietor to offer equal service to all customers.
An example: I run a bar and get the idea to offer a particular drink -- the panty dropper -- to women, and I refuse to serve it to men. I've just broken the law.
Alternate example: I run a bar and a guy walks in and asks me to make him a Flaming Jesus Fucks a Bear. I've never heard of this drink, and I find the name of it offensive, so I refuse to make it. Not just for the guy, and not because he's a guy. I refuse to make it for anyone. I am well within the bounds of the law.
By the way, there's nothing stopping the owner from telling people he would rather not serve them but is required to by the law. It's perfectly legal to make customers feel unwelcome, so long as you serve them. There's another fascinating loophole that I keep waiting for these mouth-breathers to figure out, too. The same laws that make it illegal to negatively discriminate against customers do allow positive discrimination. So it's legal to offer women half-price drinks (or men, or gay people, or old people, or handicapped people), which is positive discrimination.
So, the enterprising cake baker would price everything in his shop at +300% mark up and then give Christians and straight people 300% discount on everything. Never been tested in court with those specifics (lady's night drinks have) but I suspect it would hold up, or force a rethink in the letter of the law.