I’m gay, but I think hanging out in the change rooms and checking out guys is So Very, Very Wrong. No one deserves to be made to feel uncomfortable. Do your business then get the hell out of there.
(As an aside, despite my orientation, guys in the change rooms who are obviously cruising make me intensely annoyed.)
I certainly agree that it can be annoying.
If there’s no sauna available in the neighborhood, I would assume that he comes for the sauna. I know plenty of people who use saunas on a regular basis, and lacking a hammam or another dedicaced place to go, would probably do the same that this guy.
Mr. Athena used to go to the YMCA just to sit in the sauna. Like others have pointed out, some people just like saunas. He doesn’t go there anymore, though. He likes saunas so much that we put one in our basement. 
I totally agree with Jervoise here. I used to work out at Bally’s (shudder) and we had a leerer there. After a couple times of him doing that to me, I just walked over to him, stared him in the eye and said “HI”. That curbed that but quick. Gay or straight, male or female, I really don’t like being leered at, especially when I’m all nekkid and whatnot.
Oh, I thought I did put it in IMHO. Sorry about that and thanks.
The guy in the OP sounds perfectly normal to me. Back when I had a health club membership, I sometimes went to work out. Sometimes, I just used the steam room, jacuzzi and showers – and took my time about it. I don’t have those kind of facilities at home, so it was nice to be able to just unwind in the heat.
What’s wrong with Bally’s? I’ve never been treated bad by the workers there. Their gyms and locker rooms are clean. The staff is helpful. Yeah, there’s some really weird yahoo’s there, but you’ll find them everywhere.
Btw, talk about weirdos, if you ever go to the ballys at the Sunray shopping mall in st.paul at about 2ish in the afternoon, there’s usually a guy there that works out in slacks and a nice dress shirt. He just lifts weights, but kinda odd that he looks like he should be in an office somewhere instead.