My room has a "gym bag smell" that only goes away when I open the windows. I've washed all my clothes.?

Well you have narrowed it down to washing walls and washing furniture/dressers/nightstands etc. You also might want to check to see if the stale smell is coming from a heating vent/duct. If you have forced air, your duct work might need cleaning or freshening. If this is it, you might want to get scented filters to fit into them to use till summer when you can have them cleaned. You might want to change the filter on your furnace too as that might help.