Emergency services were called to Crunch Fitness in Alexandria on O'Riordan Street about 12.30pm on Wednesday.
The 39-year-old woman suffered multiple stab wounds to the side of her neck near her ear, and to her back.
Detective Superintendent Rodney Hart said police are searching for a 40-year-old man known to the woman and are treating the incident as a targeted domestic violence attack.
"We believe that the offender is known to the victim, we believe that they had been in the past - earlier this year - been in a very short domestic relationship," he told reporters on Wednesday.
"So this has been treated as domestic violence related."
Det Supt Hart said the man is known to police for domestic violence related offences.
"We believe that he used a knife, a kitchen-style knife, and we are concerned that he may still be armed," he added.
The woman was treated by NSW Ambulance paramedics before being taken to hospital in a stable condition.
Detectives are reviewing all CCTV foorage and interviewing witnesses.
The man has been described as about 170 to 175 centimetres tall, of muscular to solid build with dark hair and possibly a dark beard.
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