Right there is a problem.
No one can serve two masters.
Our loyalty should be to Jesus first and foremost.
Church affiliation and loyalty should be way down on the list of priorities.
If Protestants are Christian at all, then their denominations are part of the one, holy, catholic and apostolic Church. You should be loyal to your church for that reason alone; but also, most churches' membership vows include being loyal to the church and supporting it "by your presence, prayers, gifts and witness" (from the United Methodist Church membership vows, for example). Surely, your word means something. If you are unwilling to be loyal to that church, then look at that quotation again.
Or, as Kevin deYoung points out in Why We Love the Church, the Church is the Bride of Christ. You cannot say, "I love Jesus, but I hate his Church"--it makes no more sense than saying you love your friend, but hate his wife.