There really aren't any cons to exercising. Exercise is great for so many things besides weight loss. That is why I began exercising faithfully over a year ago. I had no intention of dieting, and I had no illusions of weight loss. I did know, however, that I needed to move. I needed to stretch. I needed to be able to run a block without getting winded. (I am still working on that one!)
Basically, I had accepted the fact that I would be at this weight forever. I decided that if I wasn't going to get thinner, at the very least I could be fitter and stronger. I knew that, in order to continue to serve the Lord over the years, I needed to stay healthy. I also knew that, going into my 40's, I needed to work at staying as flexible as possible, although I have never been very flexible. Honestly, it was a great year. I was and am proud of my perseverance.
The Weighdown program which I generally follow does not encourage exercise. The reason being very simple, and more about your mind than your body. Most people who need to lose weight end up trying to use exercise so that they can eat more. The whole point of Weighdown is to learn to eat less. The other idea is to eat regular food in smaller quantities rather than to eat large quantities of "diet" food. They know that you can only eat "diet" food for so long, then you revert to the original.
So, when I lost 50 lbs. 15 years ago, I didn't exercise all that much.
Now, I can say that I exercise, regardless of weight loss. That being said, the exercise has made my current weight loss journey much more fruitful. My goals for exercise are still the same. I want to be fit and strong so that I can continue to do what God needs for me to do.