Bars and gyms are public places and players can't build them. Retail stores, gyms and bars can all be built in the public area of the game. There is no such game setting, so it cannot be built.
In the new map of The Sims 4, besides bars, there are clubs where parties can be held. This role has two skills: dancing and DJ. You can interact in bars and exercise in gyms in public areas, but players can't build them.