All the major dictionaries say that exercise, when denotes a physical activity, is an uncountable noun.
Swimming is good exercise. (OALD)
Cycling to work is good exercise. (Cambridge Dictionary)
Longman Dictionary of Common errors explained and I quote, "Exercise (uncountable) = physical activity such as walking, swimming etc".
Exercise (countable) = A movement or set of movements.
Is it wrong to say "Swimming is a good exercise"?