I go to the gym 3-4 days a week after work. the location of my work is very safe and I keep my gun locked in my car while I'm at work because I also consider the parking lot safe.
However, the gym I frequent has seen a lot of vehicle break-ins. I'm also not too keen on leaving the gun in the flimsy lockers, or freaking out my fellow gym-goers (or tipping them off that my locker contains cellphone, wallet AND $500 firearm).
Carrying the gun during my workout is also a no-go, IWB would fall off gym pants from movement eventually and belly belt would be downright uncomfortable.