Who hasn't heard this expression before? It's short, it's catchy and it ryhmes, but ultimately it is also not true. There seems to be this image that exercise has to also be punishment and leave you in a sweaty mess on the floor afterwards for it to be effective.
The truth is that if you desire to progress in your exercise such as lifting a heavier weight or running a faster 10K time that you will need to take yourself out of your comfort zone from time to time. But to push yourself to complete exhausting every minute of exercise is a recipe for disaster and will eventually lead to overtraining.