I wear the loose ones with some frequency but do have a couple of the tight long sleeve ones. If I do wear a tight one to the gym, I put a t-shirt over it.
Most of the guys you see wearing just a tight one are the skinny guys that are in shape, but you can't tell unless they have their shirt off or wear one of those. If that's what it takes to make them feel good about themselves...fine. I don't necessarily view it as gay, but wouldn't do it myself.
Now the guy wearing just bike shorts and a tank I saw at the gym last week - THAT was gay...