This is how my old gym was (Crunch Fitness), at least several years ago. I moved cities and had forgotten about the subscription until I checked my bank statement - so I called them and asked to cancel. They said I needed to do so in person, or physically mail them some form (wasn't exactly clear on where I get this form from...). Even after being pretty irate and asking for a manager, I got those canned responses.

I suppose it was lucky that I was visiting that city the upcoming weekend, so I did end up cancelling in person - but my experience sounded and felt illegal.