Something is not assur unless there is a clear halachic basis and precedent. Real poskim often will not say assur, and instead say something along the lines of “it’s not assur but it’s not a mitzva” (that’s a line iv’e heard from one). Kol Shekein where there is no basis whatsoever for such an issur. Maybe the rebbe knew who he was talking to and felt that either the specific context justified calling it assur or knew he coukd take the license to say assur, but there is neither an issur mideoraysa nor miderabanan in weight lifting or any other conventional means of exercise. At best (or worst) depending on what the questioner may have in mind, something else about it might be problematic (the op doesn’t make it sound like there is a tacit implication that the weight lifting will be done together with a female partner or such, so there doesn’t seem to be any apparent other issur tangentially in play here), but it seems grossly misleading if not outright lying to state panoptically that you’re in violation of any issur.
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