With dance you are constantly learning new material. Much less so with an exercise routine, even if you "mix it up".
Think of it this way. It requires enough of your brain that you cannot carry on a conversation at the same time. If you're out jogging, you can have a conversation.
It is also quite common for martial artists to add new skills that cover different aspects of combat. E.g. once karate-ka have a solid foundation in unarmed combat they often learn to use weapons. Practitioners of striking oriented martial arts commonly cross train in grappling or throwing oriented arts. Practitioners of Northern Kung Fu (generally focused on long range) might train in Southern Kung Fu (generally focused on short range). Many martial artists also incorporate supplemental practices such as meditation, qigong, or hojo undo.