This is an example of how important it is to precisely communicate nutrition and exercise physiology concepts so they aren't misinterpreted. The key to countering this myth is to recognize that fat is not a precise enough term. When used as a general term, fat could refer to fat found in food, fat found in the blood, or fat stored in adipose tissue (body fat). Most people who ask about not eating before exercise do so because they think fasting will help them burn more body fat.
It is also important to help athletes see the big picture instead of focusing on one small aspect of metabolism. As Sally points out, not all of the fat burned as a result of exercise is burned during exercise. That fact is important when trying to debunk this myth. The bottom line for athletes is that loss of body fat happens slowly, and that it ultimately depends on total caloric intake and total caloric output, not whether fat in the blood is burned during exercise.

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