First off ... yes, there is a Pro Gay Wrestling Federation.

Secondly, we spoke with PGW champion -- The Gay Avenger -- who tells us he's upset by Cole's "intolerant and insensitive" comment ... and insists the word encourages a "hostile bullying environment."

PGW founder and CEO Francis Minks adds, "How can ANYONE at the WWE say anything derogatory about gay people?? Look at what they do and have been doing for a living for years! Big muscles, small tights rolling around! I'm just saying, honey."

Minks adds, "People in glass houses shouldn't throw sconces!"

Cole has since issued an apology for using the slur ... and the WWE says Cole will take part in a GLAAD training session in an effort to educate him about the perils of discrimination.

The Avenger -- along with several other wrestlers -- tell us they're upset Cole did not get a harsher punishment.