Hi. Please trust me on this: you don't have to feel emotionally close to somebody to tell them about this.It is NOT a "secret" that has to be whispered about or something very unusual: What this creep is doing to you is something that creeps do to women young and old every day in every part of the world (and I'm not a manhating woman; I've been happily married to a non-creep for 25 yrs!), so it is pretty common knowledge that there are guys like this and that it is NOT YOUR FAULT.
In my experience, guys like this actually expect that you will be too embarrassed to say anything. Time to defy expectations!
Start with either the instructor you take most of your classes with or with the chief instructor (in some dojos would be same person, in some not).