That's what's called bullshit. Go in person (don't call) and tell them you are stopping payment on your credit card, and that if this persists, you are going to tell your credit card company that any future charges by them are fraud. Do it loudly - don't let them take you into a back room or anything. Do this in front of other customers.
Believe me, they do not want to hear this. And you are not the first person attempting to quit the gym. This is a business but this is your money. You have every right to spend it how you please.
And if you signed a long-term contract with them, then shame on you for not reading the fine print, but you should still be able to get out of it (but recognize that you may need to pay to get out of it).
And next time, be a LOT more careful about how you spend your money and what you sign.