Proprioception — from Latin proprius, meaning "one's own," and perception — is one of the human senses. There are between nine and 21 in all, depending on which sense researcher you ask. Rather than sensing external reality, proprioception is the sense of the orientation of one's limbs in space. This is distinct from the sense of balance, which derives from the fluids in the inner ear, and is called equilibrioception. Proprioception is what police officers test when they pull someone over and suspect drunkenness. Without proprioception, we'd need to consciously watch our feet to make sure that we stay upright while walking
Proprioception doesn't come from any specific organ, but from the nervous system as a whole. Its input comes from sensory receptors distinct from tactile receptors — nerves from inside the body rather than on the surface. Proprioceptive ability can be trained, as can any motor activity.
Seating on any gym machine while performing and "exercise" does very little or nothing at all to your proprioception skill. Another great reason to forget about gym machines and train your self by exercises that utilise free weight, body weight and of course by playing sports.