Actually, they did, and the state of colorado supported the muslim bakery. This was mentioned in the supreme court's ruling as an example of how capricious the state was being in their persecution of Jack Phillips.
“In a somewhat strange development, the probable cause finding reads that Phillips violated state law, even though the proceedings are still in a preliminary stage. “ Major mis-step by the “Civil Rights Commission” which has already been admonished by the Scotus once.