Why don't they just buy a wedding cake from someone who wants to sell them one?
Because if you allow anyone to discriminate based on race or sexual preference, then you allow everyone to discriminate based on race or sexual preference. It may be a single bakery refusing to sell a cake to a single icky gay couple that started the fuss, but the the consequence of the law may make it difficult or impossible for any gay person to buy any product from any store. Or to force a two-tiered system of businesses where gays can only do business with a subset of "gay friendly" businesses (which, one imagines, would be boycotted by upstanding Christians).
If you're in the business of making cakes, then make the damn cake. If you're in the business of being a religious busybody, then don't sell cakes.