George Barker was found at the Double K Gym in Stable Lane, Bexley, south-east London, at about 09:40 GMT on Monday.
Officers want to hear from anyone who saw, spoke or knows where the 24-year-old was during the weekend before.
They specifically want to know where he spent Sunday evening into Monday and where he was before he went to the gym.
Mr Barker, of South Darenth, in Kent, died of stab wounds to his chest and abdomen. He was the father of a week-old baby girl.
Det Ch Insp Laurence Smith, who is leading the murder investigation, said Mr Barker had been a regular user of the gym and had arrived there at about 09:15, and was attacked shortly after.
"Our enquiries so far have led me to believe that there were five men inside the gym who were waiting for George Barker to arrive.
"Following the brutal assault on George the men left the gym and I am appealing to anyone who saw the men arriving in Stable Lane prior to the murder, or saw them leaving, to contact the police," he said.
Det Ch Insp Smith added that he "retained an open mind as to the motive" for the killing.

Okja, starring Tilda Swinton and Jake Gyllenhaal, had been booed by some in the audience after the Netflix logo appeared at the beginning.
But it then became clear the film was playing in the wrong aspect ratio.
The film has been controversial because producer Netflix has refused to screen it in French cinemas.
After the jeers, the movie was stopped and restarted without explanation.
Some film journalists in the screening uploaded videos of the heckling on social media.
The BBC's Lauren Turner, who was at the screening, said: "There was shouting from the upper seats and it became apparent the aspect ratio was wrong, so they restarted it after about 10 minutes.
"The second time around the audience booed the Netflix logo again. But there was also some cheering at the same time and a warm round of applause at the end."
A statement from the Cannes Film Festival said: "This incident was entirely the responsibility of the Festival's technical service, which offers its apologies to the director and his team, to the producers and the audience."
On Thursday, there was also some booing when the Amazon logo came up at the beginning of Wonderstruck, which stars Julianne Moore and Michelle Williams.
Earlier this week, Cannes jury chair Pedro Almodovar said he agreed that films should have to be screened in cinemas if producers want them to be considered.
Indiewire film critic David Ehrlich tweeted: "Okja starts, huge boos at Netflix logo. Then film plays in wrong aspect ratio and Grand Lumiere almost rioted. Movie stopped."
The Telegraph's Robbie Collin wrote: "Cannes making an A+ case for the primacy of the cinema experience by projecting the first ten mins of Okja in the wrong aspect ratio."
Blogger Elena Lazic said: "That didn't start well. Screen not open properly, significantly cropped at top... the boos at the Netflix logo were immediately followed by boos at the terrible projection."
The film is a South Korean-American adventure movie about a young girl named Mija who tries to prevent a multi-national company from kidnapping her best friend, a genetically engineered super-pig named Okja.
Speaking after the film, director Bong Joon Ho said he "loved working with Netflix", adding it was a luxury to be given such a huge budget for it.
Swinton said: "It's an enormous and really interesting conversation that's beginning. But I think, as in many matters, there's room for everybody."
Gyllenhaal added: "It's important to have artistic expression in whatever form we can.
"Debate is essential always. It's a useful thing to have this discussion about how art is perceived and distributed."
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Detectives investigating the murder of a man who was stabbed outside a gym are appealing for information regarding his movements prior to his death.
[NEXT_CONCEPT]
A screening at the Cannes Film Festival had to be stopped after technical problems during the first few minutes of the film.