Yes and No. There's nothing wrong with a private establishment choosing to ban firearms.
The problem is the moral hazard of the state or federal government laws eliminating the choice of the particular church(or any institution) to allow guns.
When you remove the moral hazard, individuals tend to make the rational choice that best fits their needs and the needs of their customers/patrons.
When a person is willing to commit premeditated murder(especially if they don't plan on murder/suicide), they are unlikely to target any establishment where there isn't a certainty that they will be unopposed.
This is also why there is so little non premeditated murder with firearms as apposed to other types of murder.
People choose guns as a the dominant method of premeditated murder because gun-free zones exist.