Hey Chris,
I had as similar experience at the gym too and I think it was because when I sweat heavily the sides and back of my hair would be become wet with sweat and the piece would remain relatively dry. It then creates a significant difference in density between the sides and back and the piece. I have seen it happen to another guy during a heavy cardio workout, before he starts there no hint he is wearing, however after 45 mins his hair is drenched and the piece is dry making look like the piece is sitting on top of his head with shaved sides.

I wear a cap to the gym to avoid this situation. I have also heard that you can splash water on your piece during your workout to minimise the difference.

Are you wearing lace or skin, as I think the problem is worse with skin?

Cheers Craig.