It's not just exercise

Fitness Doesn't Negate Risk of Fatness by Rob Stein:

Physical activity can offset some of the harmful health consequences of being overweight but cannot fully erase them, according to the biggest study to examine the relative benefits of being fit vs. fat.

The study of more than 115,000 female nurses found that weight and activity levels are both powerful predictors of longevity, and that being either overweight or sedentary independently increases the risk of death.

But the study concluded that the healthiest people are those who are both thin and physically active, a blow to those who have argued that fitness is more important than fatness and can offset the risks of being overweight.