The research by Northwestern University in US found that on days when people exercise more - typically Thursdays to Sundays - they drink more alcohol, too.
This is the only study to use smartphone technology and a daily diary approach for self-reporting physical activity and alcohol use, researchers said.
"Monday through Wednesday people batten down the hatches and they cut back on alcohol consumption," said David E Conroy, lead author of the study.
"But once that 'social weekend' kicks off on Thursdays, physical activity increases and so does alcohol consumption," said Conroy.
More From This Section
"We need to figure out how to use physical activity effectively and safely without having the adverse effects of drinking more alcohol," Conroy said.
One hundred and fifty study participants, aged between 18 to 89, recorded their physical activity and alcohol use in smartphones at the end of the day. They did so for 21 days at a time, at three different times throughout one year.
Other studies on physical activity and alcohol relied on people self-reporting their behaviour over the past 30 days.
"We think this is a really good method for getting around some of those self-report measurement problems," said Conroy.
The previous studies, which relied on 30-day self-reporting, concluded that physically active people tend to drink more alcohol - something this study did not find.
"We zoomed in the microscope and got a very up-close and personal look at these behaviours on a day-to-day basis and see it's not people who exercise more drink more - it's that on days when people are more active they tend to drink more than on days they are less active," Conroy said.
Through future studies, Conroy hopes to discover what drives people to drink more on days they exercise more.
"Perhaps people reward themselves for working out by having more to drink or maybe being physically active leads them to encountering more social situations where alcohol is consumed - we don't know," Conroy said.
"Once we understand the connection between the two variables we can design novel interventions that promote physical activity while curbing alcohol use," Conroy said.
The study was published in Health Psychology, an American Psychological Association journal.