I saw this on Twitter the other day:
I was able to find the original source, which is some random guy's website, supposedly copying a Vancouver Province article by John Colebourn.
But the Vancouver Sun did mention the incident in a 2015 article about the X-Files revival:
Vancouver, if you remember, lost its collective mind when Duchovny complained about our weather during a couple late-night talk show appearances.
Duchovny joked on Conan O'Brien in 1997 that Vancouver had "400 inches of rainfall a day."
That crack got Duchovny banned from the No. 5 Orange strip club (not easy to do) which posted "Dave Duchovny is barred — go home" on its marquee sign.
"I'm just defending our city," strip-club owner and civic hero Tony Ricci told The Province. "His comments really upset me and we've barred him from here. We can't stand for this."
The Canadian Broadcasting Corporation also recalled the incident.
While I couldn't find the original clip, I did find this Tourism Vancouver video from the late 90s, where Duchovny was forced into an embarrassing mea culpa for his shameful words:
So it does indeed seem that Duchovny, who has famously struggled with sex addiction in real life, was banned from a Canadian strip club for insulting the weather.