I want to move gym’s, but I feel bad

I was going to golds gym for about a week, then I came across this climbing gym that offers both the workout equipment and Rockwall climbing. It’s about double the price of the Gold’s Gym membership, but I had a lot of fun on my first day with Rockwall climbing. Not to mention, I just started working with a trainer to get an idea of what to do when working out, so I feel kind of bad about leaving after just starting Do I let him know about the decision want to make? Or do I just not come back?