Let's take a step back for a moment. You're in a fucking gym, not a high school where bullies are asking for your lunch money. You PAID to be there. It's even ridiculous to think that you'd have to entertain the notion of fighting when you should be figuring out how to solve problems like a responsible adult instead.
Like a previous guy said, talk to the management. Do you really think that it's good for business when your customers are being harassed and intimidated? Do you really think they'd even want that? Once you figure out that you have every bit as much right to be there as your testosterone-driven meathead friends and the rent-a-cop night guard, you may realize that the gym has the most power in this situation and the ability to resolve the matter. THERE IS ABSOLUTELY NO REASON TO GET INTO A FIGHT.