Go to the management and complain.

The filming of others in public without their consent is a blight upon our society and all that - No argument from me here that them pointing their phones directly at you was waaaay out of line. But, like, why not just stay there and work out without looking in their direction, giving them nothing to work with? Or, as the other commenter suggested - Why not make a beeline immediately to staff and complain about being uncomfortable because they were filming you?

It seems weird that two different people would immediately start recording OP as he comes in. I cannot help wondering if there is some history of OP making these people feel uncomfortable and that's the reason they started recording him - And the reason he immediately left instead of either keeping to himself or complaining to management... I understand that there are some people who record others because they want to make fun of them. But there are also times when the recording is justified. It's impossible for me to figure out which is taking place.