Is it okay for men to wear compression shorts alone?

So here is my question -About a year ago my conditioning/cycling instructor suggested that some of us get "spandex and knee socks" so I decided to get a pair of both. I have to so though I do get some odd looks sometimes from the typical meat-head dudes, but I really like the way they feel when working out, and I truly enjoy being able to see my veiny legs. I noticed the other day that when I was getting a really good workout some girls were looking at my junk and grinning:embarrassed: , so is it appropriate for men to wear compression shorts by themselves?