As long as you're not a dick the 24 hour fitness I went to for about 5 years was really cool. Since this employee is being an asshole about it go to the manager and explain the situation. Tell the manager that it's a safety hazard for you to not use chalk because your hands get sweaty since you do something useful in there and the bars have shitty knurling.
After new years some old fat bitch complained about how I was "dropping" weights and the manager told her that I was just strong and you can't expect someone to gently set down heavy deadlifts. The manager always had my back about issues like chalk because I always cleaned up, I wipe down equipment, offered a spot to other members, gave advice, told some of the assholes to quit fucking off and being disrespectful, cleaned up other people's weights, etc.
When you help the gym out more than the employees the manager is going to be pretty damn lenient about stupid rules, especially when you talk to him about it.