It is about air circulation. Gym and mall has external air circulation while your hom air-cond is circulation internal air. This will make some people feel suffocate.

Not sure about any particular gym but shopping mall do not use air-cond system like home type. Like most factory, use system that circulate air from outsite by chilling it first before blowing it into the mall. THere are so many people and you need oxygen, otherwise you get suffocate with carbon dioxide.

At home just few people and the oxygen requirement are less thus leak air even from under door pane is enough. I guess some people are more sensitive to lack of oxygen than others.