funny seinfeld episode about the same problem. Funny episode, the pool guy at the gym just starts hanging out with Jerry. At one point, Jerry says he has some errands to run, and the pool guy says great, I'll go with you.
He follows Jerry around all day, then Jerry finally says "look, i am not ready for a relationship" and he has enough friends and he doesn't even like them. of course, just like the cable guy, no matter what, it always ends bad.
I would stay doing cardio for a week or two until he leaves. OR, i would finish my workout, then as soon as I am done, I would put on my headphones and litteraly walk really quick out of the gym and just leave. He will eventually get the message. Run home if you have to. Good luck!