I remember having discussed this with my friend when we saw the Matrix. If you're hurt in the Matrix, how would you bleed outside? That seemed crazy to me and I still don't completely buy it. But in this case, what exactly happens when you actually DO exercise? It's not a phenomenon that completely excludes the brain (*more on that below). Sure, I think it's possible.
*Some things are physically impossible no matter how strong your will is (or is it? Let's leave it in the gray territory b/w reality and fiction for now). Say you're falling at 100 miles/hour. No matter how much you believe you're as light as a feather, gravity will act on your body mass, accelerating it and when you hit the ground, you'll take much more damage than a feather ever can.