That's creepy and inappropriate, frankly, to encourage anonymous confessions. I think that frees people from culpability for their thoughts and actions, and I've never seen that to be a wise idea. Your discomfort is one of the many pieces of evidence I'd use against such a thing. Guessing at it is one thing, actually hearing it is quite another!
As for going back to the gym, that's up to you. If you're truly worried about what people are thinking, it might be more healthful (emotionally) for you to go with a gym that isn't linked to your peer group. If money is an insurmountable issue, I'd evaluate whether I could go during a time of day where traffic in the gym is light, or decide that nobody's opinions on your looks are a valid reason to prevent of from pursuing health. Either way works, but either doesn't always work for everyone, if you know what I mean. When I'm bothered and embarrassed, it motivates me to care a whole lot less. Not everyone is like that though, and I don't think that's a flaw with you