If you look at the scientific papers on how our bodies burn stored energy, then it becomes rather straight forward why high intensity exercise leads to weight loss.

Exact numbers escape me, but exercise somewhere between 65-80 percent of your heart rate leads to optimal consumption of carbs and fats. Too low stress and you aren’t using up much stored energy; too high and the body needs sugars to keep going.

Better yet, it’s prolonged intensity that matters, as it takes the body a few minutes to activate all the pathways required to start burning fats and carbs. So for example long distance running will burn more fats than sprinting.