It's definitely a phenomenon that many of us have experienced.
The key for me is in timing excercise relative to the previous insulin dose. For example, if I run or cycle at a bg of 5mmol/l a few hours after I last ate, bg will definitely rise. If I do the same exercise within an hour of my previous meal, my bg will remain stable, or perhaps drop slightly so I might eat a little more to compensate.
So, for me, it's dependent upon the presence of insulin in the blood stream. Even a properly set basal dose won't accommodate the bs rise resultant from the stress hormones associated with exercise. Last Saturday I had a quick 30 mile training ride mid afternoon, and mg bg was, I think 5.1 beforehand. I used a half unit of humalog to pre-empt the bg rise and had a bg of around 4.6 when I got back.
Hope that helps,
fergus