Was he just expressing an opinion, or was it closer to a demand? I ask because sometimes when I mention what I like to do, people take it as me telling them what to do (which I am definitely not trying to do).
But if you've explained to him that you want to use a gym and that you have no problems paying for it, and he still insists you shouldn't, I'd keep an eye on that. You might just need to sit him down and say, "Honey, this is what I want to do. I don't want to work out outside. My preference is indoors, so that's what I'm going to do. Thank you for respecting my wishes on this."
Do what you need to do for you, whatever that is.