If you are an employee at a gym and are covered under their insurance, no additional insurance is necessary.
If you work for a studio that requires instructors to carry their own insurance, and/or if you teach independently (for example, you rent space at a recreation center and lead your classes without reporting to anyone) it is advised that you obtain insurance. You can locate insurance resources/additional info on fitness certification sites such as AFAA or IDEA fit websites. We do not personally recommend specific companies, but many of our instructors use K&K Insurance.
It is best practice to have liability coverage, but in the end, the specifics of what you choose is dependent on what else you teach and how much coverage you want.