The Gleis 4 gallery, which is rented there, announced this via Instagram, as reported by the portal kath.ch (Friday).
They are now actively looking for another exhibition venue.
The sculpture had been sharply criticised by church representatives and theologians.
According to the gallery's account, the expected large crowds and feared disturbances were too great a security risk.
The response had been expected, but not this much. Railway stations are not the usual location for art galleries, which means that they should not disrupt the flow of people or create security risks.
Bishop criticised the artwork
The sculpture by British artist Mason Storm, entitled "Saint or Sinner", depicts the US President in an orange prisoner suit. He is strapped to a white cross, reminiscent of a cot used for executions by lethal injection.
The Gleis 4 gallery from Zug is opening a new location in September in the hall of the former brasserie in the west wing of the railway station building. The artwork "Saint or Sinner" should have been shown there from 6 September.
The Bishop of Innsbruck, Hermann Glettler, had condemned the artwork as "simply deviant". "Trump strapped to the cross as a saviour or as a martyr in the orange clothes of a prisoner about to be executed? Yes, please, is that still possible?" said the bishop.
Zurich theologian Simon Peng-Keller also classified the depiction of Donald Trump on the cross as a "colossal miscast".