Exercise is using muscles to further develop them, regardless of type of exercise. Muscles burn energy, counted in calories and give off heat as a byproduct.
The body tries to be efficient in burning fuel. It is not able to use that heat as additional fuel. Holding in the energy through conservation would overheat the muscles and they would work less efficiently.
The only time you would want to conserve heat during exercise is if it is really cold out and you need to worry about internal drop in temp. That rarely happens when exercising.
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