Sylvie Dallaire, co-owner of the gym in the suburban Ste-Foy district, said Duchesne was working out on a stationary bicycle at about 9:20 a.m. ET on Monday when he collapsed.
Efforts to resuscitate the former NHL forward, first by a gym employee and then by an ambulance crew, were unsuccessful, she said.
Reports said he apparently died of cardiac arrest, but the precise cause of death was not immediately known.
The native of Quebec was an eighth-round draft pick of the Washington Capitals in 1981 and made the NHL club out of his first training camp, although he was later returned to the junior Quebec Remparts.
The six-foot, 190-pound forward went on to play 1,028 NHL games, registering 179 goals and 254 assists. Duchesne also appeared in 84 career playoff games.
In Pittsburgh, Penguins coach Michel Therrien was saddened to learn of the loss of his former Remparts teammate.
"I'm crushed, it is really terrible," Therrien said.
Ottawa Senators coach Bryan Murray coached Duchesne with the Capitals, using him mainly on a checking line with Doug Jarvis and John Gould.
"He had talent, but most of all, he worked hard," said Murray, who later as general manager in Florida brought Duchesne to the Panthers for his final NHL season in 1994-'95. "He was always one of my favourite players."
Penguins assistant coach Andre Savard coached Duchesne for only 15 NHL games in Quebec, and knew him mostly from get-togethers of former players from the defunct Nordiques.
"I'd see him in the summer and we'd play golf with Alain Cote, Mario Marois and Dave Pichette," Savard said. "He was funny.
"He liked to laugh. At night, he was always playing jokes on us."
After six seasons with Washington, Duchesne was traded to the Nordiques along with forward Alan Haworth and a first-round draft pick - that turned out to be Joe Sakic - for Dale Hunter and goalie Clint Malarchuk.
Two years later, he moved on to Minnesota and was a member of the North Stars team that reached the Stanley Cup final in 1991.
He finished his NHL career with the San Jose Sharks and the Panthers.
"We are extremely shocked and saddened by this news," Sharks GM Doug Wilson said in a statement. "Gaetan, in every way, epitomized what a team player should be - unselfish, caring and supportive of his teammates.
"His love for the game was unmeasured and despite his relatively short career in San Jose, his connection with our fans was amongst the strongest of any player to ever wear our uniform. He was a remarkable man who will be deeply missed."
Duchesne later worked as a player-assistant coach with the defunct Quebec Rafales of the IHL and assistant coach with the Remparts of the Quebec Major Junior Hockey League.
He was out of hockey in recent years, running an architectural supply business with his brother in the province's capital.
Duchesne is survived by his wife, a daughter and a son, Jeremy, who is a goaltender with the Val d'Or Foreurs of the QMJHL.