Most people who attempt to lose weight do so not through exercise alone but through a combination of diet and exercise. However, one thing that inevitably happens when you lose weight is that, in addition to losing fat, you lose muscle, which is an unhealthy situation. This makes it more difficult to lose fat, and also encourages weight regain since it decreases the metabolic rate. Muscle burns calories at a much higher rate than fat tissue, so the more muscle and less fat that a person has, the higher their metabolic rate will be, which means that you burn more energy. So, instead of trying to burn calories, put on some muscle so that you burn extra calories all the time. Resting muscle burns fat too.