A lot of women are self-conscious about wearing comfortable exercise clothes and then showing off their body, whether that’s the intent or not. A place where there won’t be men ogling them - in fact or in imagination, attractively or creepily, mostly at all - has its pluses.
I dated a very attractive woman (swimsuit/lingerie model) for a couple of years, and it drove her crazy how perfectly “nice” men in the club would openly stare (often right at her crotch) as she did leg exercises and such.
ETA: What was weirder, and has nothing to do with a mixed/single gym, was that women in the locker room would notice her under-breast scars (reconstruction from childhood fibrosis, not entirely model-cosmetic) and often touch and poke her breasts more casually than men shake hands. She was not body-shy but took to using the curtained stalls to dress.