As Albany inches closer to legalizing gay marriage, Orthodox Jewish and Roman Catholic leaders are sounding the alarm about what they view as a lack of legal protections in the proposed law.

The proposed bill submitted by Gov. Andrew Cuomo and passed by the Assembly on Wednesday shields churches, synagogues and benevolent societies, like Knights of Columbus, from civil actions related to the law, and grants them the right to deny couples from using their facilities to solemnize or celebrate a marriage because of religious...