Saving face or bringing back an embarrassing situation?

Hi! I've had a crush on a guy at my gym since I got there, like 6 months ago. A month ago a situation occurred where I read that he might like me as well, so I planned on trying to start conversations with him. I saw him with a shirt that looked great on him so I decided to ask him about it, my mind made up a great speech that would led to a nice conversation... it didn't happen, he told me the brand and it ended there. I thought he was shy (lol) so when I knew that I had to change my schedule and I wouldn't be able to see him on a daily basis I decided to rush things up and ask him for his number, today was that day. I went after him, asked him his number and he told me "well, but I am married". I don't exactly remember how I reacted but something like "ah, ok, thanks, bye" came out of my mouth, with my shocked-embarrassed face, of course, and I ran away.

I will see him next week for sure and I don't know if I should approach him and say I am sorry or do like nothing happened, I feel bad, he has been there before I joined so I don't want to make him feel uncomfortable, so saying I am sorry will ended the situation, I think, I hope, unless I am missing something that can make the situation worse. The thing is he goes with a friend who is, I don't know how to describe it, not as quiet and calm as "my crush" is, and I am sure he knows because he was with him when I approached him and I kind of want to end the thing instead of let the friend make things weirder when we saw each other, he is the type of guy that will laugh, smile, point out...

What should I do? I can't help but think about his wife, I feel really bad, I was lusting over a married man, he might have kids too. But he was so nice when he told me he was married that a tiny part of me likes him more knowing he might be faithful and a good husband. I can deal with no having options, I don't want to but I want both of us to feel comfortable and not have a problem or weird situation.

Thanks in advance
Saving face or bringing back an embarrassing situation?
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