Sex between men is the most frequent mode of HIV transmission in industrialised countries. Monitoring risk behaviours among men who have sex with men (MSM) is crucial, especially to understand the drivers of the epidemic. A cross-sectional survey (PREVAGAY), based on time-location sampling, was conducted in 2015 among MSM attending gay venues in 5 metropolitan cities in France. We applied the generalised weight share method (GWSM) to estimate HIV seroprevalence for the first time in this population, taking into account the frequency of venue attendance (FVA). Our objectives were to describe the implementation of the sampling design and to demonstrate the importance of taking into account sampling weights, including FVA by comparing results obtained by GWSM and by other methods which use sample weights not including FVA or no weight. We found a global prevalence of 14.3% (95% CI (12.0–16.9)) using GWSM and an unweighted prevalence of 16.4% (95% CI (14.9–17.8)). Variance in HIV prevalence estimates in each city was lower when we did not take into account either the sampling weights or the FVA. We also highlighted an association of FVA and serological status in the most of investigated cities.