Well, if you keep your daily diet the same, then yes, you will lose wait just through exercise. If you're keeping the same amount of calories coming in, and then start exercising, your body will be burning more calories than you presently are burning. Simple math, my dear. One thing that I have found, however, is that the more active I am, the more I eat, which throws some additional factors into the equation...
It also depends on what type or exercise you're going to do, how often, the intensity, etc.