For sin shall not be master over you, for you are not under law but under grace. (Romans 6:14)
Only unbelievers are under the Law. Christians are under grace.
This objection usually results from a misunderstanding (intentionally or otherwise) of the phrase "under the law" and what Paul means when he uses it.
Paul is the only writer in Scripture to use the expression "under the law". For a full study of this phrase, we have created the paper entitled What Scripture Says About Being Under the Law. To summarize the article, Paul's use of the phrase "under the law" means "to be in custody of the law because you have violated the law". An example from today: cops haul people off to jail when they break the law.
Paul's statement is 100% true: we are no longer in custody of the Law (due to our violations) because we have been set free by God's grace in applying Christ's payment to us. Paul, knowing the question that would be next in his reader's mind, goes on:
For sin shall not be master over you, for you are not under law but under grace.
What then? Shall we sin because we are not under law but under grace?
May it never be!
Do you not know that when you present yourselves to someone as slaves for obedience, you are slaves of the one whom you obey, either of sin resulting in death, or of obedience resulting in righteousness? But thanks be to God that though you were slaves of sin, you became obedient from the heart to that form of teaching to which you were committed, and having been freed from sin, you became slaves of righteousness. (Romans 6:14-18)
Let's summarize what Paul is saying:
You are no longer in the custody of the Law (because you violated it). You have been released from custody because of God's grace.
So now what? Can you go out and just do whatever you want now that you have a "get out of jail free" card?
"May it never be!", Paul exclaims.
You are no longer slaves to sin but are slaves of righteousness: you are slaves of doing what is right [because that is what Christ did].
How can we be certain what "doing right" is? By reading God's Law. Paul says in Romans 7:7 that he wouldn't know the difference between right and wrong without the Law.
So the statement is true: we are under grace and not under law. But that doesn't mean that the law no longer applies to us.