Here's why the baker in CO lost before the Administrative Law Judge on the issue of same-sex cake

This article at TPM explains the background and the judge's ruling. In my opinion the judge got it all correct. Especially since there is a law against discrimination based on sexual orientation in CO.

--snip
It Doesn’t Matter If The Bakery Otherwise Serves Gay People
One of the bakery’s arguments was that it still served gay clients — the owner only objected to a wedding cake that would celebrate a same-sex marriage. Spencer argued that since only gay couples would participate in same-sex marriage, it’s a “distinction without a difference”

--snip

This Case Has Nothing To Do With Whether Same-Sex Marriage Is Legal
Conservatives often argue that cases like these that allegedly impose on “religious liberty” are the consequence of marriage equality passing, but Colorado doesn’t have marriage equality. The judge notes that this actually proves that the discrimination is based on the couple’s identity

MORE at link:
http://thinkprogress.org/lgbt/2013/12/06/3035121/colorado-bakery-broke-law/

PDF of the entire ruling: http://aclu-co.org/sites/default/files/Signed%20Initial%20Decision%20Cake%20Case%20No%20%20CR%202013-0008.pdf

ALSO. If you look at the complaint the bakery is full corporation, not just the owners doing business as a sole proprietorship. This makes the bakeshop a completely separate entity from the owners - an artificial entity. One which cannot possibly be seen to be able to exercise religion and, therefore, have religious freedoms. This is the same issue with the Hobby Lobby that's coming before the SCOTUS.

ON EDIT: Some legal eagle should correct me here if I'm wrong. It seems the "implied consent" doctrine is applicable to corporations and even sole proprietors in this context. When you get a driver's license the courts have found that you've automatically given "implied consent" for a DWI/DUI test - despite the 5th amendment protection against self-incrimination. So if you get a business license or incorporate (still needing a business license in most places even as a corp.) you would certainly seem to have given your "implied consent" to abide by civil rights ordinances - despite speech and religion protection in the 1st amendment.