The Gym should have on property security and or insurance against theft of property belonging to 3rd parties. I would ask the gym for a copy of the policy which by law they must give you as you are a user of this facility. You may find that they can make a claim, after all you was paying them a fee to use the gym it should sate that if you are a paid user you are insured while you are inside the building in case of fire or accident. Worth looking into. I had my camera stolen in an Airport Restaurant in Spain and they had a security guy on the door he did not see it and the security cameras did not pick it up. After my lawyer looking into their insurance policy they was liable for personal objects stolen while on "Their" premises but not the airport premises.
Most gyms have signs posted that they are not responsible for lost or stolen items. Unless it was secured in a locker (which it wasn't) the gym is not liable.