Is it because you become addicted to the endorphins? I don't know too many people who are addicted to exercise. It seems like an addiction to crisps is more common!
When you exercise your body does indeed produce endorphins - which are the body's own natural painkiller. It's these that can produce a mild euphoric effect when exercising intensly. This effect has been said to occur when eating chillies also, as endorphins are released to relieve the burning in your mouth.