@lovemachine Do you physically injure your body when you don't understand the plot, themes, or symbolism in your movie, though?
I'll also make the assumption, based on how OP said the encounter went, that if you just left your headphones on, shook your head no, and didn't respond to a nice person that was offering to show you how to not hurt yourself, they'd just walk away and hope you are ok. That's what nice people do, is respect your no while still trying to offer help when you are clearly doing something that can hurt you.
If you aren't ok with a person approaching you, and them respecting your no, then you're right, being alone by yourself probably is better for everybody. People approaching you happens in all aspects of life though, not just the gym. Learning how to politely refuse a person is a skill to have a life, and one it seems you might need to exercise.