Actually, there used to be male exclusive gyms and clubs, a "Gentleman's Club" didn't used to be a euphemism for stripper joint, it actually used to be a bar and club that exclusively catered to men (sometimes with burlesque shows or strippers... which is where the modern euphemistic usage comes from). The YMCA, which ran many gyms, for instance, used to be exclusively for men, that's what the name STOOD for "Young MEN'S Christian Association", and it had a female focused counterpart, the
YWCA. While now the YMCA is no longer male exclusive, the YWCA still is exclusively for women.
In fact, you can find many
female-only gyms around the US, ostensibly to provide women a "safe space" away from men. Meanwhile male exclusive gyms have basically been completely eradicated via lawsuits and public pressure.