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I'm not sure what type of workouts that you do while you're at the gym so this could possibly be a solution or totally irrelevant....
If you do any weight training while you are at the gym, it is very common for athletes or serious gym users to carry with them a training program where they can write down quick notes about the weight and number of reps they did for each exercise. If you were interested in doing this, you might be able to a zippered binder that could both carry your workout program and your gun. That would look a lot less suspicious to always have your binder containing your workout program near than constantly moving your duffel bag or watching it like a hawk.
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