Many of her fans followed her instructions and took to Twitter to express disgust at her actions.
Lisa Hubbert said: "Wow, she's a total bigot and said so on stage. It was unreal. We had to leave. I am so disappointed."
Shocked reportedly joined the Pentecostal West Angeles Church of God in Christ in Los Angeles recently.
She was the subject of rumours she was a lesbian throughout her career.
Several music venues have cancelled the singer's bookings for upcoming shows.
E News said eTown in Boulder, Colorado pulled the plug on an upcoming Shocked show, saying her values were not appropriate for the venue.
"From the very beginning, our goal as an organization has been to foster a spirit of community and inclusiveness in all that we do...We are deeply saddened by today's news, and are pulling the plug on this event. Anyone who had purchased tickets for the show can receive a full refund... We apologize for any inconvenience, and appreciate your understanding," it said.
A site tracking the story has tallied eight show cancellations so far.
Shocked played at The Powerstation in Auckland in 2011.