No, because intense exercise leaves the cell with little or no oxygen to use in extracting most of the energy in fatty acids via aerobic respiration.
Work Step by Step
Consider the nature of fatty acids: almost all of their energy is in the fatty acid side chains, which must be B-oxidized to be fed into aerobic respiration to generate ATP. That requires a lot of oxygen, which is available during intense exercise. Carbohydrates are different since they can undergo glycolysis followed by fermentation to provide ATP. The tiny amount of energy in the glycerol portion of a fat would provide very little ATP in fermentation.