Emergency services were called to Crunch Fitness in Alexandria about 12.30pm on Wednesday.
The 39-year-old woman suffered multiple stab wounds and was taken to hospital in a stable condition.
Detective Superintendent Rodney Hart said police were searching for a 40-year-old man known to the woman and treating the incident as a targeted domestic violence attack.
"We believe they had been in the past - earlier this year - been in a very short domestic relationship," he told reporters.
"So this has been treated as domestic violence related."
The man was known to police for domestic violence related offences, Det Supt Hart.
"We believe that he used a knife, a kitchen-style knife, and we are concerned that he may still be armed."
The woman was treated by paramedics before being taken to hospital.
"This was a targeted attack," Det Supt Hart said.
"It's horrendous what has happened to this poor victim."
"To the offender, hand yourself in because you're going to be arrested."
Witnesses reported hearing the woman scream as she was walking towards her car outside the gym.
"When I was about to open the door, up to the gym, I heard a scream ... it was not a normal scream," one woman told reporters.
"Because of the distance, I wasn't sure what he was trying to do to her ... it looked like he was attacking her or he was trying to rob her."
The witness believed the man was hiding in the car park, as she did not see him when she arrived.
A second man stepped in to stop the attack.
Another witness saw the woman helped upstairs into the gym, where staff began first aid.
"She ran all the way upstairs, she was bleeding from the neck, from her ears,' he told reporters.
Police thanked those who helped at the scene.
"Anybody who has come to her aid, I applaud them and I thank them for their actions," Det Supt Hart said.
The man was described as 170 to 175 centimetres tall, of muscular to solid build with dark hair and possibly a dark beard.
He fled the scene in a 2006 Grey Ford Focus hatchback with registration AYQ14W.
Detectives were reviewing CCTV footage from the gym and interviewing witnesses.
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