If you weigh yourself before and after an hour or two of exercise, the difference is likely to be fluid loss. However, in events lasting several hours or even several days, measurable fat loss can occur. At a competitive 12-hour indoor stationary bicycle marathon, one athlete took fluids and food throughout the entire competition, and still lost 2.64 pounds. Of this weight loss, 1.98 pounds was due to loss of fat. His calculated muscle weight increased by 1.46 pounds due to damage to the muscle cells, which results in fluid retention in the cells. Journal reference
During vigorous cycling, an athlete can burn between 600 and 1000 calories per hour, so this cyclist probably used more than 9000 calories in his 12-hour event. That is equal to the amount of energy needed to form almost three pounds of fat. He lost only two pounds of fat because of the prodigious amount of food and drink he took in during the marathon. You can lose fat during a single exercise session, but you have to be in extremely good shape and exercise for a very long time to accomplish this. For most exercisers, true weight loss will be measured over weeks or months.