I understand why it's sexist. I think it's fair to assume that some males that may go to the gym are creeping but so are some females so it's only fair to have a men's area as well.
There's always a reason behind everything though. Thinking of it from a business perspective, women probably kept bringing to attention the issue of creeping men; therefore, the solution was a private area for women. However, men have not brought up the issue of creeping women at the gym. So, if I was the owner of the gym it would kind of be a big unnessessary expense.
As a female, I always worked out in the women's section but if I was a male I wouldn't feel comfortable experiencing someone staring me down when I'm just trying to work out either; so either way, I would say from a perspective of equality, there should be both, but from a business standpoint, there is no point unless a gym is losing its male members due to not having a private area for them. This was a good question