This has to be illegal

We supposedly won a "free" VIP membership from Gold's Gym in Bountiful, Utah. When we went in for our consultation, we were asked to sign a contract for two years. Supposedly this VIP membership was a discount not free. We signed the contract anyway knowing we could make the payments. About a month later, my husband lost his job and I got pregnant. Not only could we not afford the payments, but I was not going to go to the gym pregnant. We tried to cancel the membership and they corporate office told me that there were only two ways to cancel the contract. They were to either move more than 30 miles away from any Gold's Gym, or to transfer the contract to someone else. We did try to transfer the contract and the person we were trying to give it to wouldn't take it because of the reason we were trying to give it to them. My husband is in the military and we have now moved to Colorado, however we are not 30 miles away from the nearest Gold's Gym despite we are clearly more than 30 miles away from the Gold's Gym we signed the contract with. Now I'm getting calls from their attorneys telling me that they are going to garnish my wages, go to court and get a settlement, have the judge issue a bench warrant because I won't appear on the court date, and because "I have refused to make any payment" on the supposed $3500 I owe from fees and interest that have accrued. My question is, if we only went once, and that was for this "free consultation", then tried to cancel afterwards after signing this contract, why should I have to pay $3500 in fees and interest when I tried to cancel?