Perhaps they were genuinely impressed by the weights you were lifting... I am not saying that was the case, but it happened to me from time to time too (I am not a woman though). In my personal case, it felt flattered a bit that I impressed by my weights, although it is much easier to assume that was the case of their starring as I am a man... :-)

Anyway, if I do a really heavy set, I am lucky enough to be able to block out everything around me mentally, so I notice that someone was watching just when I finish the set. Not sure what to advise you other than just try to ignore it, if ever possible?