technically at my gym there's a no gym bag rule too. but there's also a sign in the locker room that's says that they are "not responsible for lost or stolen items". and shit gets stolen from the locker rooms fairly often.
so if they would ever call me on it, I would tell them that "if you aren't responsible for my stuff in the locker room, then my stuff stays with me."
I have a belt, wraps, sleeves, nike romaleos, chalk, wallet, some bands, phone, keys all in my gym bag. that's a lot of money worth of stuff.
then you can either A) leave that shit in the car until you need it, or B) find a different gym.
you'd be surprised how many people I catch trying to steal shit. bands, D-handles, V-bars, 3-8lb dumbbells.
that shit adds up each year, so you can take your $289 a year and your attitude, and train somewhere else.