I could be wrong but it seems to me that an important element how the deal was structured.

If you signed a finance agreement with a 3rd party which then paid the club (A lot of gym memberships work this way) then you are probably still on the hook. You're recourse would be against the club which would mean you're screwed.

If you're contract was strictly between you and the club, and the club is shutdown (never mind the notion that someone may at some point in the future buy and re-open it) then they are probably in breech and you should be off the hook.

If the collection agency bought your contract from the club or as a liquidated asset then they may be entitled to collect on the contract but by the same token they may be responsible for the club's obligations... If they claim to own the contract try asking them to set up a T-time for you. If they can't then tell them they are in breech.