Police, fire and ambulance services were called to the scene just before 1am.
They found that there was some damage to the entrance of the gym including a smashed window, but the inside of the premises was not affected.
Nobody was inside the building at the time of the attack.
Police say there is no evidence of recent threats against the gym or anyone who worked there.
"What kind of bomb was involved is unclear. The explosion was heard from afar," police spokesperson for the region Hans Nilsson told news agency TT.
Bomb experts have completed a technical survey of the site.
The attack is the latest in a series of blasts in southern Sweden, although it has not been suggested that any of the bombings are linked.
On Christmas Day an apartment was attacked in Malmö.
Police suspect that a rental dispute is behind a twin explosion which rocked also rocked the Rosengård area of the city the weekend before.
On January 5th a man in southern Stockholm had a suspected bomb thrown into his apartment.
There have also been bomb threats at Stockholm's Arlanda airport and several court houses across Sweden over the past month.
A number of attacks against Swedish mosques have also taken place in recent weeks, both before and after the shootings in Paris that made global headlines.