Pentheus does not believe that Dionysus is a divinity.  He believes that what the women are doing is for a false god and that it is immoral.  When the women went to the woods to begin their worshipping, Pentheus was abroad. However, he heard about their actions and upon his return he jailed many of the mad women and was working on capturing all of them.  He was too stubborn to go along with Tiresias and Cadmus.  They tried to convince Pentheus not to upset the god, but like a typical tragic hero, he was too blind to see the truth.