I was going to say no... but some things like yoga, pilates and zumba might make the ladies feel a little self conscious and oggled. I mean flirting at the treadmill is one thing but if you're looking through your kegs as you get into a straddle split you can feel a bit...icky and dirty just from being watched doing it... This si coming from someone who posts pictures of herself in lingerie; men watching you do gym movements makes you feel dirty... And girls who go to the gym may not be feeing too confident about their shape... I HATE going to ballet class with hardly any men and just mirrors as it is.
For normal stuff like rowing machines and treadmills I say women should just laugh off, ignore or accept whatever attention they get. Guys will be guys. Only if they are really doing something that puts them in a compromising position like yoga etc