Kicked out of Gold's Gym

I tried to cancel my Gold's Gym membership today. I went to the gym and they told me that to cancel you have to send a letter by certified mail to the cancellation department. I asked them to save me the hassle and just cancel my account now. They said no. I then explained that I thought their cancellation policy was unethical because it seemed designed to make it a hassle to cancel in the hopes that people will put off cancellation and pay for membership for a few more months. I was as polite as possible and told the woman I was speaking to that I didn't blame her and didn't think she was acting unethical, but I was telling her this so she could convey the information to the manager who was not currently at the gym. Another gym staff person said since I was criticizing them I had to leave. (She didn't of course cancel my membership.) So Gold's Gym kicked me out of their premises for politely criticizing their cancellation policy.