The study by the London School of Hygiene & Tropical Medicine involved more than 4,800 people in an annual UK Flu survey.
The findings suggest that 100 cases of flu per 1,000 people could be prevented just by engaging in vigorous exercise, researchers said.
No differences were found in rates of flu-like illness based on the amount of moderate exercise reported, so it may be that more vigorous exercise is needed to lower your risk, they said.
"We're really interested in the preliminary findings around fitness activity and flu-like illness, as exercise is something that everyone can do to reduce your chance of having flu," Dr Alma Adler, Research Fellow at the London School of Hygiene & Tropical Medicine said.
The annual UK Flusurvey is an on-line system for measuring influenza trends and uniquely collects data directly from the public.