It's not a myth. The problem is someone who is consuming 2500-3000 calories a day will be on a slow weight gain trend with no exercise. When they start exercising, and are now burning 500 calories a day, they would otherwise start to lose weight. But often, the mentality is that they want to reward themselves for their exercise, and have a an extra helping at dinner, and/or a nice desert, and that extra beer. And now they've compensated or exceeded that 500 calories that they burned, and wonder why they haven't lost any weight.
I lost 40 pounds a few years ago simply by cutting my calories. I consumed half of what I would normally eat. If I would normally have a bagel at breakfast, I ate half a bagel. If I was going to have pizza for dinner, I would have 1 slice, instead of the 2 or 3 slices that I would normally eat. It took 3 months, but I lost the weight with no exercise. After I took the weight off, I decided I wanted to eat again because I like it, so now I run 20 miles a week, and have gone back (mostly) to the same level of eating I was at before.