It entirely depends on what you want from going to the gym or a dance class. If your goal is to lose weight, then both of them works just right. However, if you're goal is to gain strength and muscles, then it is necessary to join a gym. Dancing increases your posture and stamina and also helps you get in a happier mood. If you want to tone your body and gain muscle, then strength and resistance training is essential. Sometimes, a combination of the two will help you achieve your goals faster. That is the reason why some gyms even provide Zumba and dance classes. It aids in improving your physic and posture.

Below is my answer to another similar question! 

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Yes, Absolutely!!! Dancing is an expression and you can never be too late to learn it. Hip-hop/ Western or Bollywood are some great ways to go about learning dance. You have to learn one style of dance for at least 6 consecutive months, which will drastically develop your confidence. Try recording videos of your performance and with that, you can see your development over time. I think you must have measurable progress in whatever you learn and your video recordings will simply do that for you.

Try to avoid learning from online tutorials because its designed irrespective of your age and physical condition, you would just be able to get some ideas but will not learn dancing properly. I am also telling you to avoid those because without proper direction and supervision dance steps could even cause some chronicle hidden injuries.