Besides that Australian study, see "The Workout Enigma", describing http://www.ncbi.nlm.nih.gov/pubmed/20689460

Recently, researchers in Finland made the discovery that some people’s bodies do not respond as expected to weight training, others don’t respond to endurance exercise and, in some lamentable cases, some don’t respond to either. In other words, there are those who just do not become fitter or stronger, no matter what exercise they undertake. To reach this conclusion, the researchers enrolled 175 sedentary adults in a 21-week exercise program. Some lifted weights twice a week. Others jogged or walked. Some did both. Before and after the program, the volunteers’ fitness and muscular strength were assessed. At the end of the 21 weeks, the results, published earlier this year in Medicine and Science in Sports and Exercise, were mixed. In the combined strength-and-endurance-exercise program, the volunteers’ physiological improvement ranged from a negative 8 percent (meaning they became 8 percent less fit) to a positive 42 percent.

...The implications of such wide variety in response are huge. In looking at the population as a whole, writes Jamie Timmons, a professor of systems biology at the Royal Veterinary College in London, in a review article published last month in The Journal of Applied Physiology, the findings suggest that “there will be millions of humans that cannot improve their aerobic capacity or their insulin sensitivity, nor reduce their blood pressure” through standard exercise.

...the actual mechanisms involved are complex, as a recent study by Dr. Timmons and others underscored. In that work, researchers accurately predicted who would respond most to endurance exercise training based on the expression levels of 29 different genes in their muscles before the start of the training. Those 29 genes are not necessarily directly associated with exercise response. They seem to have more to do with the development of new blood vessels in muscles; they may or may not have initiated the response to exercise.

Unsurprising given that most of the effect of exercise is informational, equivalent to twiddling a control knob. Some people have mis-wired controls; for them exercise does no more than just burning a small number of immediate calories.

Yes, and the 40% or whatever of America that's obese are all "immune" to exercise. That's surely it.

Funny how we were just discussing on LW people who self-handicap and make excuses in order to justify their failures. Might a bit of that be going on here as well?

If they don't have the nutritional basis for changing their bodies, they won't. Some people, mostly those suffering from chronic conditions, are actually low in cholesterol