Yes, we had thefts from gyms and gym locker rooms on a regular basis as a police officer, they would go in and pop he cheaper locks in no time and used cutters on a lot of them.

But yes, first don't carry anything on a gym trip if you don't have to, lock them in the trunk of your car if possible. And we had a lot of bags just picked up from inside the gym, with that they are busy working out, and people walk by and just pick up bags as they go.