Yeah, but evidence suggests that isn't true. Studies of people trying to lose weight show that those who exercise and those who don't lose the same amount if you control for eating.

People who cut out calories and exercise lose the same as people who cut out calories and don't. People who exercise without changing eating habits don't lose weight, just like those who do nothing at all.

It's best obviously to do both though. You really don't want saggy skin falling off your body all over the place...