Hi Rubert,
This isn't all that abnormal depending on the exercise.
Sometimes weightlifting can increase your blood sugars because you're breaking down the muscle which has glycogen stored in it, which you're using as fuel! The glycogen will increase your blood sugar.
If you're doing something more aerobic, it would be odd if you're blood sugar went up as you'd be using the sugar in your blood as fuel, but it's possible that adrenaline or stress could increase your blood sugar.
What kind of exercise are you doing?
Ginger