Well, a few things are going on. First of all, the muscles that you use, including your heart and lungs, are burning calories at a higher rate than normal to put out that kind of work, as compared to having a low activity level. It doesn't stop there though, after you are finished your heart rate stays elevated for awhile and the recovery process will also continue to burn more calories than normal. If you keep this up for long enough, your body will increase its metabolic rate, which is basically the amount of energy that your body uses up to maintain itself, so you're constantly burning more calories than before you started exercising.
So what this extra calorie burning means is that when your body uses up what is can from your blood stream, such as the carb stores in your liver, it switches energy sources and starts pulling energy from fat, assuming you are eating less than what you're actually burning. This is where true weight loss comes from.
I'm assuming that this is what you were asking, but maybe not?