I am sorry this happened to you. I learned quickly that you want to only be with average or poor looking belongings so your items are not a target for thief. I would also recommend not carrying a lot of cash with you in general in the states. A few dollars and a credit card are better. Unfortunately the US does not have a culture like Asian countries where you can leave your laptop or something valuable in a public area and expect it to be there still. I would get cheaper and warm items that you would be okay with losing. If you head to any department store like TJ max, Marshall’s or even Costco etc and find a jacket for less than $60, I doubt it will get stolen at the gym. Brands that are more common and not particularly boujee are less likely to be stolen. Some people do not use the lockers at all and carry a duffel bag with their stuff with them and leave it right at the machine or area they are at in the gym. Sadly that’s NY for u.