You can never cancel your membership, they make it impossible

I am having the most frustrating issue with Gym Company. I had a membership with a gym that had closed down and they moved it to GYM COMPANY which was not meant to happen.

I live in Cape Town now which makes impossible to go into their gym to cancel and when I cancelled the debit order, they threatened legal action.

I don't know what the duck to do here because this absolutely unprofessional company