Technically, this is considered rude, since it alludes to the "expectation" of gifts. In other words, if they hadn't put this on the invite, they assumed you'd give them a gift. I've seen it a couple times and it didn't rock my world too much. I've always thought it was kind of borderline bad etiquette.
Anyway, I just followed their wishes. I did invite them to a celebration dinner, and we went, but they didn't want us paying for it, so we didn't.
Also, do NOT donate in their name to a charity, even if you're positive there's a charity they're involved with. It's still a gift.