Gain muscle mass. Let's say you are 250 pounds and extremely weak. You may hit the gym and burn 200 calories. Gain a large amount of strength, and you suddenly burn 400 calories in the same session.
I haven't encountered a physically fit individual who has struggled to lose weight. However many fit individuals have a hard time maintaining a comfortable weight due to eating habits/will power.
Also a huge problem with the "eat sensibly" concept is the deck is stacked against you in the US. Portions are huge and calorie dense. I would bet you could not maintain your current weight living in Asia.