Some students have the misconception that during cellular respiration, the matter in glucose is somehow turned into energy. Consider that when we exercise, we burn glucose and also lose mass. Why does this happen?

We also sweat while we exercise. While we exercise, we do burn glucose and in the process generate the energy we need. That energy also causes us to heat up and as part of our temperature regulation mechanism, we sweat to get rid of the excess heat. And that water that we sweat has a fairly large amount of mass which we then lose.