No, but if you are looking for one consider staying at Hotel Regina in Gravedona, Lake Como.
Hi, we stayed at this hotel and were given an introductory tour as we were brought to our room. We did not see a gym; only a small private beach area just outside main house. I would check with front staff who are most helpful. They will be able to confirm for you.
Get an answer from Villa Belvedere Como lake Relais staff and past guests.