The most common and most likely answer to this crossword clue is the 6 plus 5 letter word INDIAN CLUBS
I've seen this crossword clue in The Guardian
I
N
D
I
A
N
C
L
U
B
S
Buddy explains!
The straight part
We know that "They’re used to exercise" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case they’re used to exercise = indian clubs.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.