Men like to watch attractive women working out? Who would have guessed? Do you imagine that there will ever come a time when that will change?
Of course, people wear different outfits for different occasions and circumstances. Yes, there are many characteristics other than clothing choices that contribute to others' impression of a person. I have not claimed otherwise. This particular conversation, however, happened to be centered on clothing choices.
"...why it is more expected of women to pay attention to that, than it is expected from men?"
I don't know; why is it?
People have many expectations that I can't explain.
Are men, as well as women, not expected to choose particular forms of attire? Men are expected to wear suits and neckties under certain circumstances. I happen to think that requiring a man to wear a necktie is oppressive. It's like asking him to tie a noose around his neck and pull it tight. I was fortunate enough to work in an occupation where I was not expected to wear such a barbaric article of clothing.
You can ignore others' expectations and dress as you please. You can ignore men's displeasure and wear whatever you want when you work out. Some men are probably disappointed if you are not dressed in more sexually provocative attire; that is their problem. You are not obligated to conform to their expectations. If your sweat bothers them, too bad. I suspect, however, that men will enjoy watching attractive women working out regardless of how they are dressed.
"...apparently, wearing no make up to a gym where you are going to sweat bothers them."
Who are these men? Why does it matter if they are bothered? I am married to a woman who never wears make-up. It has never bothered me or anyone else that I know of.
"...they say that if something happens to you for wearing appropriate clothes for the gym, you "are asking for it"."
If "something happens" the "somebody" who did the "something" is going to use whatever excuse is available to defend his actions. That could include claiming that you were asking for it. Claiming so doesn't make it so.
Nothing you have written contests my statement that the impression you intend to convey is not necessarily the impression others may infer from your appearance or other characteristics they observe. You are entitled to assume whatever appearance you choose, but you can't control others' impressions no matter how much you may want to.