This question isn’t exclusive to women, most blokes I meet at my gym will ask or be asked the same question, “what are you lifting for?” it’s not an unreasonable thing to ask. I’ve been asked it numerous times. It doesn’t have to be offensive and there are a number of answers, “I want to be strong” “I want to be athletic” “I want to be healthy and look my best” “I want to look my best” “I enjoy the sport” “I want to live longer” “I want to get better at football/basketball”. Most people are genuinely interested, I would suggest the reason they are asking you is the same reason they ask a bloke, to find some common ground and start a conversation. That’s not to say there aren’t a whole lot of douche bags at a gym who no doubt make life uncomfortable for a woman, but I think this question is fairly innocuous.