The thing is that I tried to cancel, but the lady on the phone would not give me a clear answer.
I preauthorized the debit account which I closed already because I didn't want them to take anymore money.
I looked up about the gym and found that people did go to sign something to cancel, but still was demanded more money.
Anyway, should I ignore them or what should I do?

No, if it is a valid debt then you need to take care of it one way or another. Depending on how much it is you may want to ask for a settlement.