It is likely the comment is either out of context or refers to a specific situation not a general rule. As various forms of exercise goes, weight lifting does not require immodest dress, does not inherently involve pritsos, and is a lot safer than many sports (and few sports offer equivalent strength training) – and for the most part can be done in the privacy of one’s home. Of course is the person asking the question is in a situation where he plans to go to a co-ed gym where people wear few clothes, it would clearly be explicable why his rebbe told him not to go.
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