When you exercise your body stops or slows insulin production, this results in your liver releasing additional glucose.. the idea being that your body is going to need more energy during the exercise... You may find if your exercise is low impact or short duration then you haven't used all of this additional energy and as such your blood glucose will be elevated.
After exercise your blood glucose will have a tendency to drop as your muscles replenish glucose stores so you should always monitor BG's carefully particularly if you have been doing high intensity or long duration exercise.