I no longer technically (really) have social anxiety, but in situations like this, I never really know what to do...

At the gym, I noticed a really overweight, old guy with a beard and bald head heading towards me and I was not in a communication mode, so I got up and walked away before he could reach me. He then followed me and started talking about his workout routine and kept nervously laughing. I literally didn't know what to do. I ended up just staying in place and working out as he yammered away. I never said a word and I kept looking for a way to escape. Luckily, someone else finally came by, asked me how many sets I had left, and I lied by saying, "I'm done" and walked away.