You might want to analyze the times that this is happening and do some good old-fashioned detective work.
This will work well if you actually track when people arrive at the gym. At my gym I swipe in with my card every time I show up.
If thefts occur all hours of the day, during a day, you may want to consider whether it's possible a female staff member is doing this.
Anyway, barring all of that, slapping an RFID tag under the sole of a shoe or some other hidden area could work. You'd need detectors by the exit just like they have in stores though.
You could also cover objects in some type of invisible (and harmless) dye that turns your skin bright orange or something. Again, don't let your staff know or they'll just avoid it.
Whatever you do, don't listen to all the stupid, dangerous and illegal advice you are getting.