I read this article entitled "What do Christian fundamentalists have against set theory" and was shocked since I grew up (Grade 1 - 8) in several (what could be described as) fundamentalist/evangelical private schools, and I majored in Computer Science / Discrete Math in college and if the two concepts had some sort of conflict I'd be the person to know. However, I had never heard of a Christian objecting to set theory on religious grounds.
To summerize the article he basically sites this by a christian textbook publishers:
"Unlike the "modern math" theorists, who believe that mathematics is a creation of man and thus arbitrary and relative, A Beka Book teaches that the laws of mathematics are a creation of God and thus absolute....A Beka Book provides attractive, legible, and workable traditional mathematics texts that are not burdened with modern theories such as set theory." — ABeka.com
Then he explains set theory and goes on a rant (which may or may not be derived) against fundamentalists who object to modernism and all things tainted my modernism. Then talks a little tiny bit about how they may be offended by any type of theory that can contain infinities.
Is there any Christian objection to set theory?