Club Physical chief executive Paul Richards, who was at the gym, said: "The team and I were pretty much in tears after; the lady was known to most.
"This has been a very traumatic thing to happen for her family and our team, and members who were there at the time."
The woman's death comes just over a week after Pacific Media Network chief executive Tom Etuata, 46, was found dead in his Greenlane home after a brain aneurism.