I hate the term “burning calories” because it’s really misleading. Calories are energy, you’re not “burning energy,” you’re USING energy, you’re OUTPUTTING energy.
A-duh. Calories are not physical things you can burn. They ARE the thing that makes the burning. But calories themselves are not burned.
It’s like saying “I burned fire.” No, fire burns stuff. You ignited the fire, but the fire is burning OTHER stuff. YOU are not burning the fire.