I don't know where you heard that, but don't believe it. It is recommended that we all should do 20 minutes of aerobic exercise at least three times per week to decrease the risk of cardiac arrest and maintain health. This means that at the end of the twenty minutes you should be breathing much more deeply and pulling in more oxygen from the workout. The more oxygen you pull into your lungs, the more you are able to increase your cellular respiration that creates ATP (the energy currency of the cells).
Your lungs branch off from the larger bronchial tubes to the smaller and a deeper system of arterioles, capillaries, and venules. The capillaries are called alveolar ducts that branch off into air sacs that are surrounded by pulmonary capillaries that absorb oxygen. A person that smokes clogs up his alveolar capillaries and this is why you hear him gasping for air or breathing heavy.
The point of aerobic exercise, or continuous deep breathing, is to expand those alveolar passages and keep them open and oxygenated so that the blood capillaries surrounding them can absorb more oxygen, pump it through your heart, and transport it to all the cells in your body.
