It is certainly wrong, but should not be illegal. A distressingly large number of things fall into that category, and people lacking basic human decency is probably the biggest example. A private business is just that: Private; it remains the property of the owner to operate at his discretion provided he is not actively harming anyone else. No shoes, no shirt, no crucifix, no service. The Boy Scouts can bar homosexuals, country clubs can bar racial minorites etc. etc. and the proper response to that is to organize a boycott and make a media event of it. You cannot make people stop being bigoted bastards, even with a law; you CAN make it so costly for them to BEHAVE like bigoted bastards that they either voluntarily keep their filthy little secret to themselves or go out of business.

I do not know the specifics, but understand the rules are slightly different for companies whose business by nature requires large scale public access; they cannot pick and choose to grant that access to some members of the public but not others, and that is fair. I must say I am not sure how womens only (or mens only) gyms are consistent with that.