The laws of thermodynamics don't require a fat cell to release lipids because you're hungry or exercising; the fat cells can just physically not react until your muscles run out of glucose or your brain overrules your attempt to starve yourself to death.

They don't, but the reason we evolved fat cells in the first place was that they released lipids allowing our ancestors to survive during periods of scarcity who otherwise wouldn't have. Of course there may be people for whom this mechanism is broken, but I doubt that John Walker, who claims to have lost a sizeable fraction of his body weight without surgery and not gained it back for decades, is lying.