there is a big difference between fat calories and general calories. When you exercise with an elevated heart rate, you are burning a lot of calories ... which includes fat and other types of calories, like protein. THis is not good if you are also trying to build some muscle definition. That's why, most exercise machines have a setting for "fat burning" ... which is not strenous exercise ... it's more like a light jog. However, you do not burn as many calories .. so there is a trade-off.
There is a compromise ... HIIT (High Intensity Interval Training). As the name implies you are doing intervals of high intensity ... ie. jog for 5 minutes, sprint for 1 ... or, what i like to do, jog for 45 sec, sprint for 15. This is supposed to be a good balance of burning a lot of fat calories without burning too much protein.