I don't suppose you could recruit help from the gym/facility you were at to fuck up the guy (either getting your phone back or just punishing him in some way) by proving it was him with CCTV outside of the locker rooms. It won't directly prove it was him who stole the phone though, unless it was a really quiet time and only you two were using it.

Also remote-wipe your phone if possible. I should get around to setting that up.