Haven't heard that but on the few occasions I've been, I've gone in gym gear and showered when I got home. They have got small lockers next to reception which I'd be surprised if someone broke into. Perhaps there was a problem with the lockers in the changing rooms which I would guess have less supervision.

Then again, I've seen posters warning of locker break-ins at virtually every major gym I've used. I guess it's an obvious target since there's a good chance of there being a wallet/purse, phone, jewellery inside and at less busy times, a fair chance of getting a reasonable amount of time in a changing room to break into what are usually fairly flimsy padlocks.