HIIT For Fat Loss: Exercises For Women To Burn Fat: Did you know HIIT is not cardio? It is an anaerobic exercise. It works by depriving the muscles of oxygen during the small bursts of intense exercise. This helps the body burn fat even 1-2 days after you leave the gym! So, if you are looking for “The Workout” to lose fat, tone up, and boost fitness, then “HIIT” it!