I agree with Ginger on that he is too young to get the concept of quitting. The next time you have to go, ask him if he wants to go have fun at gym and if he says no, then don't go. If he says yes, then go. You should make him understand that gym class is a privilege, not an obligation (unlike school). My son went through the same thing at Gym Kids. He did not want to be there a couple of times, so I would ask him the same thing before we went. I let him know that it was supposed to be a fun time for him and that I only went for his benefit.
If your son says he doesn't want to go, withdraw from the class. It sounds like it may be more trouble than it's worth. After all, it is supposed to be fun for him. Plus, if he says there are too many kids, it may be overstimulating for him at this point for some reason.
Good luck!
M.
EDIT:
I guess I should have made my agreement with Ginger more clear. I do understand that a 3 year old can "get" quitting in the sense of not trying again, etc. on getting a task accomplished, etc. However, I don't think a 3 year old comprehends that you have paid for a semester-long gym class and you would like him to finish out the semester. I would assume that is what the other moms meant too. I think it is the overall opinion that if your son is not enjoying something as meaningless a gym class, then why force him to go and participate? You will be wasting time and money.
It sounds like you are bound and determined to get him to go and I doubt you will find many moms who will be able to tell you how to force a 3 year old to participate in class that is solely meant for fun. If it is only meant for fun and he doesn't want to do it, then why would you want to find a way to make him like it? Perhaps he senses your strong desire for him to participate and is rebelling against you. That is why, again, I said to ask him if he wants to go. You have to make it clear that this is a privilege and you only take him so that he can have fun. If he chooses not to go to have fun, that is his choice. Were not talking about an 8 year old who doesn't want to go to class!