Gym etiquette is pretty clear in this regard, people basically are an island unto themselves, and the less interaction the better; you shouldn’t even be looking in people’s directions if you can avoid it. Sounds to me like a better gym is in order. Obviously, you don’t want to confront this creep, seems like the gym should either step up and deal with this without involving you or you should just find a place where this kind of thing isn’t an issue.