A great question Andrew! I try to nip this one in the bud from DAY ONE! I do this by doing a bit of what Karin suggests here. I make it clear to my client that their wellness, health and ability to exercise is NOT venue-specific. They can get or stay in shape no matter where they are. In my opinion this helps them to relate health and exercise to themselves (the person) instead of to the PLACE. I do not want my clients to think of the gym as being the only place that they can seek fitness, health and wellness.
I hope that this helps.