You should've dropped the dbs and stood up pissed as hell and started yelling without any time for him to respond:
"What the FUCK are you doing?"!!
"You NEVER FUCK with people during their sets!"
"What if you would have thrown me off and I dropped my weights and injured myself or someone else??"!! "WHAT IF?"
"If you want to try some creepy pick up shit on girls in the gym you take it somewhere else!"
"Of all the fucked up, insensitive, creepy-assed, BULLSHIT in this gym...."
"IF YOU EVER COME NEAR ME AGAIN I'M GONNA POP YOUR TESTICLES LIKE A COUPLE PRE-PUBESCENT ZITS!"
"Now FUCK OFF!!!"