Same thing happened to me just a week ago. I didn't say anything to the person, but went out after he'd left, spoke to management, and we checked for him on the CCTV (coming out the locker, obviously, no CCTV in lockerroom *grins*)
The gym owners said it was a breach of my privacy, and although they haven't said to me officially, I haven't seen him in there again this week, so I reckon they've terminated his membership.
I have no problem with someone admiring me on my terms, when I'm in full participation, but this was without my consent, so I didn't want it. If he'd said to me, "Hey, can I photo you nude?" I might have even been amused enough to say yes - but nonconsentual stuff is out.