The same happens to me when I do intense sport... the way I have reasoned it to myself is the following (may not be right, no scientific backing, but it makes sense to me!)
When doing intense sport (e.g. squash for 45min), I will start at 6, have 10g of rapid acting carbs before hand and end at abou 12. Then later on throughout the day i will drop and drop, so either have to take less insulin with meals, or have a few snacks. I probably drop for about 12 hours afterwards.
If I do gentle exercise (e.g. shopping, walking for an hour or 2) I will start at 6, have 10g of rapid acting carbs and then end at about 6. But then I won't keep dropping after the exercise.
I figure that when I'm doing intense exercise, my body recognises this and decides to dump some stored glucose from the liver. Because it has done this during the exercise, my BG is higher immediately afterwards. Then in the nexy 12 hours, my body is replenishing the liver store or glucose, so it takes it from my blood - hence the drop.
When doing light exercise my body doesn't recognise that I am doing the exercise, so doesn't do the same liver glucose dump. Hence the small immediate drop and no long term drop (as no stores have been depleted).
I am an engineer, not a biologist, so I may well be off the mark with respect to the technicalities... but it seems logical to me!