surely the females and males have different locker rooms etc.
Where were you keys, thats the next question the insurance company will ask. Were they in your locker, was the locker secured. Was the locker in a communal area, Was it in the changing room, Do you think there was 2 of them 1 male, 1 female, Does the gym / car park have CCTV (they would have had to enter to gain keys etc).
Good luck, id be sure to check all insurance documents before ringing insurance company though, to make sure you have everything covered.