"I don't remember that I've visited..."

[Guinevere]

[Yankee]

.
The simple past tense (visited) would be better than the present perfect (have visited).

Using a gerund would be even better in your sentence:
I don't remember visiting the gym.
.
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"Nearly all men can stand adversity, but if you want to test a man's character, give him power." ~ Abraham Lincoln

[Alan]

Hi,

Again I would say: I don't remember having visited.

Alan
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English as a Second Language
You can read my ESL story Present Simple

[Edison_Chen_e_c]

I agreed with Mr. Alan and Yankee.

Yet your sentence sounds fine, it looks like:
I can not go with you because I have broken my leg. (correct)
I can not go with you because I broke my leg. (wrong)

About the usage of perfective and past tense above, you can check it in Practical English Usage by Michael Swan 418.3