Some good points previously mentioned:
1) She may have bad mouthed you.
2) He may have an inferiority complex.
3) He may be one of those guys who can't stand the thought of knowing who his "girl" has slept with, let alone seeing that guy all the time. He's probably very insecure.
If I were you I'd just go right up to his face and call him out on it. Then point out how pathetic he is for cheating on his wife and kids. Make sure everyone in the gym hears. lol