The Protestant rejection of Purgatory results from myths regarding what it is (what the Church teaches) and incomplete and incorrect Scriptural exegesis.
1) Protestants often believe that Purgatory is a place to "earn" salvation for those who failed to on earth - this is completely and totally false; it is not what the Church teaches.
2) Protestants believe that having to atone for our own sins implies that Christ's Sacrifice is "incomplete" or lacking. But that is not true; there is no conflict is Christ's Sacrifice being perfect and complete (for its intention) yet Christians being responsible for the effects of their sins.
3) They believe that forgiveness is the same thing as expiation of (punishment for) sin. Not true, as Scripture shows.
Let's look at these things in sequence.
The Definition of Purgatory
Purgatory is another area full of anti-Catholic myths. Even though it is very easy to discover what the Church actually teaches regarding Purgatory, which is what it has always taught, you will find even those who consider themselves real Protestant apologists saying things like Purgatory is a "second chance to obtain salvation". That is complete and total nonsense. One's eternal destiny is set at death, but *some* of the elect, who are not yet in the state of spiritual perfection required to look upon the Beatific Vision, require a period of expiation (suffering) after death. Souls are being purified by the application of Christ's Redemption here; if there were no Redemption there would be no salvation at all. That is what Purgatory is; here is what the Catechism says:
1030 All who die in God's grace and friendship, but still imperfectly purified, are indeed assured of their eternal salvation; but after death they undergo purification, so as to achieve the holiness necessary to enter the joy of heaven.
1031The Church gives the name Purgatory to this final purification of the elect, which is entirely different from the punishment of the damned.606 The Church formulated her doctrine of faith on Purgatory especially at the Councils of Florence and Trent. The tradition of the Church, by reference to certain texts of Scripture, speaks of a cleansing fire:607
As for certain lesser faults, we must believe that, before the Final Judgment, there is a purifying fire. He who is truth says that whoever utters blasphemy against the Holy Spirit will be pardoned neither in this age nor in the age to come. From this sentence we understand that certain offenses can be forgiven in this age, but certain others in the age to come.608
The Redemption And Its Application
Protestants assume that the notion of purgation "takes away" from Christ's Sacrifice, which is perfect and complete. His Sacrifice is indeed most perfect and complete, completely satiating the Father's just anger over the sinfulness of mankind, and restoring mankind to His family, but its application to each individual Christian is what we're speaking of when we consider an individual's justification. It's because His Sacrifice is perfect and complete that we are able to attain eternal salvation - which none of us merits - at all. Christ's Redemption gives us access to the wells of divine grace from where salvation comes; meriting that salvation is up to us. This is made clear in Scripture.
In other words, justification is a process, as Scripture does make clear.
Scripture clearly teaches that despite Christ's Sacrifice we must as well sacrifice for the sake of our salvation and bear the price of our personal sins in some sense; as the Savior says to us, "Take up your cross and follow Me".
Here is one of those passages that the Protestant theology of justification and sin absolutely cannot explain (without absurd machinations):
Who now rejoice in my sufferings for you, and fill up those things that are wanting of the sufferings of Christ, in my flesh, for his body, which is the church. (Col 1:24)
There is no sensible reading of this passage that does not somehow incorporate the notion that human beings - believers - are called to suffer as Christ suffered. Does this mean that Christ's Sacrifice is "incomplete"? Again, no. Rather, Christ desires and requires us to actively participate in His Passion, as we're able. (Granted, this doesn't at all suit all those souls longing for the easiest possible Christianity where all one must do is believe, and then relax in the lounge chair.)
I'll just talk about one other passage here for now:
For other foundation no man can lay, but that which is laid; which is Christ Jesus.  Now if any man build upon this foundation, gold, silver, precious stones, wood, hay, stubble:  Every man's work shall be manifest; for the day of the Lord shall declare it, because it shall be revealed in fire; and the fire shall try every man's work, of what sort it is.  If any man's work abide, which he hath built thereupon, he shall receive a reward.  If any man's work burn, he shall suffer loss; but he himself shall be saved, yet so as by fire. 1 Cor. 3:11-15
First, realize that whenever Paul speaks of "the day of the Lord" he is referring to the Last Day - the General Judgment. Also, he uses gold & silver as metaphors for good works and wood, hay, & stubble for bad; he is describing how the thoughts, words, and deeds of every human being in history will be laid bare for all to see on the Day of Judgment (a Catholic doctrine), and he teaches that some men (who have done some bad works) will be required to "suffer loss" but "shall be saved, yet so as by fire". This corresponds exactly to the doctrine of purgation, and Protestant attempts to explain it without incorporating suffering or expiation after death for the saved do not wash. (Meaning, "suffer loss" cannot refer to "extra" glory in Heaven forfeited; the Greek does not allow it.)
Responsibility for personal sin goes against the grain of sola fide (an unBiblical 16th-century doctrine now largely abandoned by many Protestants) as well as the related Protestant notion of imputed holiness. Hebrews tells us that, indeed, sin still clings to the Christian (no one doubts this), yet Revelations (and elsewhere) tell us that nothing impure shall enter Heaven - how could it?! Thus, there must be some sort of purification process (even if it be instant) after death for every Christian sullied by the stain of sin upon death; the Protestant thinks he gets around this by asserting that we're not really made holy by God - our filthiness is just covered up by white sheets for eternity! What a pessimistic and dirty doctrine, that. And it is not what Scripture says:
There are many more passages in Scripture that allude to or describe either a purification (by fire) of the saved and/or a state after death that is neither Heaven nor Hell:
This article is very good:
In summary, Scripture clearly teaches us that we must be truly holy to stand before God and look upon Him for eternity; fortunately, through the grace he grants us via his Son's perfect atoning Sacrifice, this is possible for us.
Whether or not the Protestant doctrines on these matters were conceived as an "easy way out", in effect that is what they are indeed. The Protestant doesn't have to worry about his sins - they don't matter! Take up your cross? Why, when salvation is accomplished solely via faith and there are no consequences for our sins, since Christ has "paid for them all" and when we just need of filthiness covered up to enter Heaven?
(I realize that not all non-Catholics sects teach exactly that, of course. Some, such as Hebrew Roots, teach that sin (incorrectly defined as violations of the Torah) brings lack of reward in Heaven or punishments in this life. Many Protestant sects will also assert that we are punished here for our sins. Well, frankly, that makes even less sense than the original Protestant teaching that Christ has fully and paid for all the consequences for our sins and so we are not held accountable for any of them. If we could suffer in this live for sin (that is certainly true in some sense) there should be no obstacle to the notion that we might suffer for them after death as well.)
Forgiveness Vs. Expiation
We are responsible for the consequences of our individual sins - grace merits forgiveness, but expiation of the sin is another matter.
There are many examples in Scripture that demonstrate that forgiveness of sin does not imply that no punishment for that sin can or will occur. In 2 Sam we see David's serious sin forgiven yet his son's life taken in punishment.
In this passage:
Be at agreement with thy adversary betimes, whilst thou art in the way with him: lest perhaps the adversary deliver thee to the judge, and the judge deliver thee to the officer, and thou be cast into prison.  Amen I say to thee, thou shalt not go out from thence till thou repay the last farthing. (Matt 5:25-26)
Christ is in fact speaking of Purgatory. The "adversary" (or "accuser") is the devil, who accuses us of our sins before God, the Judge, who requires us to spend time "in prison" to expiate those sins.
Be not without fear about sin forgiven. (Eccl. 5:5)
In fact, the doctrine of purgation and the notion of praying for the dearly departed is another one of things that was a core part of Christian teaching & experience since the existence of the faith but was lost (to many) when the "Reformers" over-turned the apple cart in the 16th century.
Luther's new theology had no room for purgatory, because it has no room for Christian responsibility. Luther threw 15 centuries of Tradition out the window along with books of the Bible that most sharply disagreed with his new theology; he set himself up as a new authority and simply acted as he pleased. These things are made very evident by his own behavior and statements (but we won't really get into that here).
The Jews believed in post-death purification long before Christ:
He also took up a collection, man by man, to the amount of two thousand drachmas of silver, and sent it to Jerusalem to provide for a sin offering. In doing this he acted very well and honorably, taking account of the resurrection. For if he were not expecting that those who had fallen would rise again, it would have been superfluous and foolish to pray for the dead. But if he was looking to the splendid reward that is laid up for those who fall asleep in godliness, it was a holy and pious thought. Therefore he made atonement for the dead, that they might be delivered from their sin. (2 Macc 12:43-46)
This is, in fact, a complete and total justification for the doctrine of purgation in a single short passage. (Even if you are of the opinion - which Christ had in his Old Testament Bible, the Septuagint, which is the source of about 300 of the 350 quotes of the Old Testament in the New - is not inspired, it still demonstrates that purgation was part of Jewish culture. But, in fact, the book is inspired Scripture; the Church, which has made all such decisions, has ruled it so.)
Orthodox Jews today still recite the "Mourner's Kaddish" for their departed relatives for eleven months after the death.
At the time of the early Church Fathers (the 1st-3rd centuries) the doctrine of Purgatory was not fully developed. However, it is clear from all sources that what the early Church never believed was the Protestant teaching that every saved soul passes immediately to eternal glory upon death.
The following are some selected quotations from the Fathers and early works (emphasis is mine):
Abercius: "The citizen of a prominent city, I erected this while I lived, that I might have a resting place for my body. Abercius is my name, a disciple of the chaste Shepherd who feeds his sheep on the mountains and in the fields, who has great eyes surveying everywhere, who taught me the faithful writings of life. Standing by, I, Abercius, ordered this to be inscribed: Truly, I was in my seventy-second year. May everyone who is in accord with this and who understands it pray for Abercius." (Epitaph of Abercius [c. AD 190])
The Martyrdom of Perpetua and Felicity: "That very night, this was shown to me in a vision: I [Perpetua] saw Dinocrates going out from a gloomy place, where also there were several others, and he was parched and very thirsty, with a filthy countenance and pallid color, and the wound on his face which he had when he died. This Dinocrates had been my brother after the flesh, seven years of age, who died miserably with disease....For him I had made my prayer, and between him and me there was a large interval, so that neither of us could approach to the other....and [I] knew that my brother was in suffering. But I trusted that my prayer would bring help to his suffering; and I prayed for him every day until we passed over into the prison of the camp, for we were to fight in the camp-show. Then....I made my prayer for my brother day and night, groaning and weeping that he might be granted to me. Then, on the day on which we remained in fetters, this was shown to me: I saw that the place which I had formerly observed to be in gloom was now bright; and Dinocrates, with a clean body well clad, was finding refreshment....[And] he went away from the water to play joyously, after the manner of children, and I awoke. Then I understood that he was translated from the place of punishment." (The Martyrdom of Perpetua and Felicity 2:3:4 [c. AD 202] or ANF III:701-702)
Origen of Alexandria: "For if on the foundation of Christ you have built not only gold and silver and precious stones [1 Corinthians 3]; but also wood and hay and stubble, what do you expect when the soul shall be separated from the body? Would you enter into heaven with your wood and hay and stubble and thus defile the kingdom of God; or on account of these hindrances would you remain without and receive no reward for your gold and silver and precious stones; Neither is this just. It remains then that you be committed to the fire which will burn the light materials; for our God to those who can comprehend heavenly things is called a cleansing fire. But this fire consumes not the creature, but what the creature has himself built, wood, and hay and stubble. It is manifest that the fire destroys the wood of our transgressions and then returns to us the reward of our great works." (Homilies on Jeremias [c. AD 244] or Migne PG 13:445,448)
Tertullian of Carthage: "All souls, therefore; are shut up within Hades: do you admit this? (It is true, whether) you say yes or no: moreover, there are already experienced there punishments and consolations; and there you have a poor man and a rich...Moreover, the soul executes not all its operations with the ministration of the flesh; for the judgment of God pursues even simple cogitations and the merest volitions. 'Whosoever looketh on a woman to lust after her, hath committed adultery with her already in his heart.' Therefore, even for this cause it is most fitting that the soul, without at all waiting for the flesh, should be punished for what it has done without the partnership of the flesh. So, on the same principle, in return for the pious and kindly thoughts in which it shared not the help of the flesh, shall it without the flesh receive its consolation. In short, inasmuch as we understand 'the prison' pointed out in the Gospel to be Hades, and as we also interpret 'the uttermost farthing' to mean the very smallest offence which has to be recompensed there before the resurrection, no one will hesitate to believe that the soul undergoes in Hades some compensatory discipline, without prejudice to the full process of the resurrection, when the recompense will be administered through the flesh besides." (A Treatise on the Soul 58 [c. AD 210] or ANF III:234-235)
"We offer sacrifices for the dead on their birthday anniversaries [the date of death or their birth into eternal life]." (The Crown 3:3 [c. AD 211] or ANF III:94)
"A woman, after the death of her husband....prays for his soul and asks that he may, while waiting, find rest; and that he may share in the first resurrection. And each year, on the anniversary of his death, she offers the sacrifice." (Monogamy 10:1:2 [c. AD 216] or ANF III:66-67)
St. Cyprian of Carthage: "The strength of the truly believing remains unshaken; and with those who fear and love God with their whole heart, their integrity continues steady and strong. For to adulterers even a time of repentance is granted by us, and peace [or reconciliation] is given. Yet virginity is not therefore deficient in the Church, nor does the glorious design of continence languish through the sins of others. The Church, crowned with so many virgins, flourishes; and chastity and modesty preserve the tenor of their glory. Nor is the vigor of continence broken down because repentance and pardon are facilitated to the adulterer. It is one thing to stand for pardon, another thing to attain to glory; it is one thing, when cast into prison, not to go out thence until one has paid the uttermost farthing; another thing at once to receive the wages of faith and courage. It is one thing, tortured by long suffering for sins, to be cleansed and long purged by fire; another to have purged all sins by suffering. It is one thing, in fine, to be in suspense till the sentence of God at the day of judgment; another to be at once crowned by the Lord." (Letters 51:20 [c. AD 253] or ANF V:332)
St. Lactantius: "But also, when God will judge the just, it is likewise in fire that he will try them. At that time, they whose sins are uppermost, either because of their gravity or their number, will be drawn together by the fire and will be burned. Those, however, who have been imbued with full justice and maturity of virtue, will not feel that fire; for they have something of God in them which will repel and turn back the strength of the flame." (Divine Institutes 7:21:6 [c. AD 307] or ANF VII:217)
St. Cyril of Jerusalem: "Then we make mention also of those who have already fallen asleep: first, the patriarchs, prophets, Apostles, and martyrs, that through their prayers and supplications God would receive our petition; next, we make mention also of the holy fathers and bishops who have already fallen asleep, and, to put it simply, of all among us who have already fallen asleep; for we believe that it will be of very great benefit to the souls of those for whom the petition is carried up, while this holy and most solemn sacrifice is laid out."
St. Augustine of Hippo: "The man who has cultivated that remote land [Gen 3:17] and who has gotten his bread by his very great labor is able to suffer this labor to the end of this life. After this life, however, it is not necessary that he suffer. But the man who perhaps has not cultivated the land and has allowed it to be overrun with brambles has in this life the curse of his land on all his works, and after this life he will have either purgatorial fire or eternal punishment.
"Temporal punishments are suffered by some in this life only, by some after death, by some both here and hereafter; but all of them before that last and strictest judgment [ante iudicium illud severissimum novissimumque]. But not all who suffer temporal punishments after death will come to eternal punishments, which are to follow after that judgment." (The City of God, ~413 AD
"The prayer either of the Church herself or of pious individuals is heard on behalf of certain of the dead; but it is heard for those who, having been regenerated in Christ, did not for the rest of their life in the body do such wickedness that they might be judged unworthy of such mercy, nor who yet lived so well that it might be supposed they have no need of such mercy." (The City of God )
"That there should be some such fire even after this life is not incredible, and it can be inquired into and either be discovered or left hidden whether some of the faithful may be saved, some more slowly and some more quickly in the greater or lesser degree in which they loved the good things that perish - through a certain purgatorial fire.” (Enchiridion of Faith, Hope, and Love)
In the catacombs of Rome where Christians buried their dead for the first three centuries of Christianity, hidden from the pagan Romans are scribbled on the walls countless prayers for their departed brothers and sisters. I have seen this myself.
For posterity, here are some comments from C.S. Lewis regarding Purgatory and praying for the departed (these two concepts are intimately related because it is nonsensical to offer prayers for the saved in Paradise or for the damned): "Of course I pray for the dead. The action is so spontaneous, so all but inevitable, that only the most compulsive theological case against it would deter me. And I hardly know how the rest of my prayers would survive if those for the dead were forbidden. At our age, the majority of those we love best are dead. What sort of intercourse with God could I have if what I love best were unmentionable to him?"
And: “I believe in Purgatory… our souls demand Purgatory, don't they? Would it not beak the heart if God said to us, 'It is true, my son, that your breath smells and your rags drip with mud and slime, but we are charitable here and no one will upbraid you with these things, nor draw away from you. Enter into the joy'? Should we not reply, "With submission, sir, and if there is no objection, I'd rather be cleansed first.' "It may hurt, you know'--"Even so, sir.'”
So, we cannot say all Protestants reject Purgatory – but then again the list of beliefs common to all Protestants is very short. (Lewis was, of course, an Anglican, and that body – having splits from the Church for entirely different reasons – shows less influence from Luther/Calvin than the other Protestant bodies.)
We have seen that Scripture does teach the concept of purgation and the existence of Purgatory and we have seen that it was the common belief of the early Church that expiation and purification after death occurs for the elect. We have also seen that Scripture cannot really be ‘cleansed’ of the doctrine of Purgatory without illogical, inconsistent, and even tortuous interpretations. As with all areas where Protestant theology contradicts the Catholic, it is the latter that fully, correctly, and harmoniously interprets and accounts for all Scripture as a whole.
I have one final comment about the Protestant teachings on sin, purgation, and salvation. Teaching Christians that their sins don’t matter – both because there is no Purgatory and because they are saved by faith alone – leads souls into sin, period. This can hardly be disputed. (Indeed, “sin boldly!” was Luther’s advice!) But every sin is an offense to our infinitely good God (by definition) - and every sin will be accounted for. More importantly, venial sin predisposes the soul to mortal sin (“the sin that causes death”) which results in the death of the soul – eternal damnation. Christ, as He told us, will say to some of those who call Him “Lord”, “Depart from Me, you evildoers; I never knew you.” And those souls, led to perdition perhaps by the evils of the Protestant Reformation, will go to their ruin, wailing and gnashing their teeth.
Keating, Karl, Catholicism and Fundamentalism
Salza, John, The Biblical Basis for the Catholic Faith
Catholic Answers Online
 I’m going to include an extended quote from John Salza about this passage, because it is so good:
“Because Paul says ‘… the Day will disclose it,’ he is speaking to the Corinthians about God’s final judgment. We just saw how Paul uses the phrase ‘the Day’ in an eschatological context. Paul elaborates about God’s judgment in the next chapter when he says, ‘Therefore, do not pronounce judgment before the time, before the Lord comes, who will bring to light the things now hidden in darkness and will disclose the purposes of the heart. Then every man will receive his commendation from God’ (1 Cor 4:5). We have also seen how Paul speaks about this same judgment in 2 Cor 5:10 and Romans 14:10. Further, when Paul says ‘he himself will be saved,’ the word ‘saved’ (in Greek, sothesatai) refers to the salvation that God fives us at the end of our lives.
As we studied in the chapter on salvation, Paul uses metaphors to describe what people have done during their earthly lives. The metaphors he uses are building and temple (for people), gold, silver, and precious stones (for good works), and wood, hay, and stubble (for bad works). God judges us by revealing with fire what kind of works we performed during our lives. If we have done only good works, we will receive a reward (see 1 Cor 3:14). If we have done both good and bad works, the bad works are burned up, but we are still saved through fire (v. 15). If we have done only bad works, we have destroyed the temple, and God will destroy us (v. 17). The polarity of Paul’s teaching in Romans 2:6-8 is also present in this passage – the opposite of saved (all good works) is destroyed (all bad works). That is, if people are damned for bad works, it follows that people are saved (not just rewarded) for good works.
In regard to the person who did both good and bad works, the Scripture says that he will ‘suffer loss’ (zemiothesetai). Protestants attribute the phrase ‘suffer loss’ to a loss of rewards. However, whenever this phrase is used throughout Scripture, it always refers to punishment. For example, in Exodus 21:22, and Proverbs 19:19, we see the same word (in Hebrew, anash) meaning ‘punish’ or ‘penalty’. The root word (zemioo) also refers to punishment. Therefore, the person who did bad works during his life was punished after his death, but was still saved.
A salvation that is preceded by a fiery punishment is foreign to Protestant theology. However, since they have no other explanation for the post-death, punishment/salvation process that Paul describes, they deny that zemiothsatai means punishment in this context. This rebuttal is incredible, for God is clearly punishing (that is, destroying) those whose bad works destroyed the temple.
But there is a further problem with arguing that in verse 15 God is only removing rewards from those who are saved: The person who ‘suffers loss’ does not lose his reward. He is still saved, because salvation is the reward, as Paul also teaches. While Protestants argue that ‘suffer loss’ refers to the loss of rewards, the phrase actually refers to the bad works that are burned up. Paul says ‘If any man’s work is burned up, he will suffer loss’ (1 Cor 3:15). The ‘man’s works being burned up’ is how he ‘suffers loss’.
Those who believe in a one-time, actual salvific justification by a ‘faith alone’ acceptance of Christ must argue that the man forever loses his reward but is still immediately saved. Otherwise, they would have to admit that the man’s salvation is delayed on the basis of his works for he must first pass through fire to be saved. In other words, they would have to admit that works determine the degree to which and whether salvation is attained, and not how salvation is enjoyed. Such a concept is inimical to Protestant theology.”
 Maccabees – where is that in my Bible, you may be asking. Maccabees 1 and 2 are parts of the ‘Catholic Bible’ and do not exist in Protestant texts. Certainly, that must mean that they’re uninspired writings – artificially ‘added’ by the Church – right? (This is what many Protestant theologians state, of course.)
Nothing could be farther from the truth, and the Protestant position on this issue is due only to ignorance. Maccabees 1 and 2 along with the other ‘deuteroconanical’ books were part of ‘The Bible’ from its creation as a single Text (by the Council of Hippo in AD 393). Furthermore, they were part of the Old Testament canon used by Christ and the apostles – the Septuagint. This greek translation came into use around 280 B.C. and was used by Jews until about 40 A.D., when a group of Pharisees at Jamnia created a new canon – to counter the Christians who were gaining converts. And why was Maccabees then removed? Because it is a story of Jewish revolt which was frowned upon by the Flavian Roman Emporer overseeing their council!
There are approximately 350 Old Testament references in the New Testament – and over 300 of them come from the Septuagint. The Septuagint is also the Old Testament translation used by the Didache, the “Doctrine of the Apostles” written in Antioch around 95 A.D. Almost all of the early Fathers referenced the Septuagint in their writings, including Origen, Irenaeus, Hippolytus, Tertullian, Cyprian, Justin Martyr, St. Augustine, and more. Pope Clement, writing in the first century A.D., also references this translation. It is entirely clear that this was the Old Testament canon and translation in use by the early Church (and I have never seen an argument to the contrary). It is true that some Church Fathers considered the deuteroconanical books to be of “secondary” status – however, considering all the other evidence, and the history of the early Church, there is clearly no justification whatsoever for removal of these books from the Christian canon after fifteen centuries of inclusion.
So, it is plain that Luther’s supposed justification for removing these books was based on his ignorance of the early Church, the Septuagint, and the reasons for the post-Resurrection Jews’ removal from their canon. His real motivation for the removal was that they were a threat to his new theological ideas. This becomes more obvious when his statements and actions concerning the New Testament are examined as well.
It’s well known that Luther also wanted to remove several New Testament books - Hebrews, James, Jude and Revelation, but ran into resistance from the other “reformers”. In every case except perhaps Revelation his motivation – which he stated plainly – was that the book in question contradicted his (new) theology. For instance, James clearly refutes his doctrine of salvation by faith alone, the cornerstone of Protestantism, proclaiming that a person is justified by what he does and not by faith alone. James says, “it is by his actions that a person is put right with God, and not by his faith alone” (2:24). Luther thus called James “an epistle of straw” even though it had always been a part of canon and no one had before ever questioned its inspiration, authority, or teaching in any way. (I do not provide references on these things because they are very easy to find, and most knowledgeable Protestants I have discussed these things with are aware of them.) It is also well known that Luther added the word “alone” after “faith” in Romans, completely changing the meaning of the passage. To the objections his reply was “Tell them Dr. Luther will have it so”. He also said “My word is the word of Christ.”