Your body’s first choice of fuel during exercise is carbohydrates. Carbohydrates are stored in the body as glycogen, both in the liver and muscle. The liver’s job is to break down glycogen into glucose to maintain suitable levels of glucose in the blood.

1. Do I Still Burn Fat When I Exercise Intensely?
This is one of the most frequently asked questions I've been asked in
my life as a fitness expert. So, here is the answer - hopefully it makes
sense to you!
Your body’s first choice of fuel during exercise is carbohydrates.
Carbohydrates are stored in the body as glycogen, both in the liver
and muscle. The liver’s job is to break down glycogen into glucose to
maintain suitable levels of glucose in the blood. The muscles on the
other hand, tap directly into their glycogen stores for energy
production.
Depending on the duration and intensity of the exercise, your body will
rely on more complex carbohydrates (stored as glycogen in the
muscles and liver) and fatty acids for its fuel.
What happens is that as the intensity of exercise increases, there is
more reliance on carbohydrates for fuel. Typically, intensities greater
than 70% of VO2 max (or maximum heart rate for our purposes) will
have carbohydrates as the dominant fuel source.
NOW LISTEN UP...VERY CAREFULLY!
However, this doesn’t mean that working at high intensities
doesn’t burn fat. Working at higher intensities allows more total
calories to be burned and that’s what really matters if you’re looking to
lose weight.
There is a phenomenon known as EPOC (or excess post-exercise
oxygen consumption). What this refers to is a process whereby the
body expends calories (and many more that in your workout in most
cases) after the workout as your body is re-establishing homeostasis -
it's point of balance.
That's why I'm a huge fan of intense workouts and interval cardio

2. training sessions. They are by far the best way to burn calories and
thus fat - not during the workout (as you'll see on many cardio
machine screens) but after the workout. Some studies have shown
that the body's metabolic rate can stayed elevated for up to 16 hours
after just 20 minutes of interval running!
The point is that your body chooses different fuels during different
situations. Because fats yield more calories and are slower burning as
they are metabolized, they tend to be used over longer durations when
compared to carbohydrates. However, the body wants to conserve its
blood glucose and glycogen stores.
As you become fitter your body will become more efficient at using
fats for fuel while sparing your vital carbohydrate reserves. Someone
who is totally unfit will obviously fatigue sooner, one of the reasons
being that their carbohydrate stores are more quickly dissolved and
utilized. Fitter individuals can last much longer because they have
developed the ability to use the slow burning fats as fuel, and
therefore conserve their energy better.
Carbohydrates that are used during exercise come from both glycogen
stores in muscle and from blood glucose. Within carbohydrate
metabolism blood glucose and glycogen are used to varying degrees
depending on the nature of the activity. However, the body’s first
order of business is in maintaining healthy blood glucose levels.
Blood glucose is the main fuel source for the brain, so I’m sure you
can appreciate why it’s pretty important. As intensity increases,
muscle glycogen is increasingly used. Blood glucose use also increases
slightly. However, to offset its usage and to maintain stable blood
sugar levels (for the vital organs), the liver breaks down its glycogen
stores into glucose for the blood.
So the point is this....intensity is king! Don't pay attention to those
"cardio" and "fat burning" zone graphs on all the cardio machines -
they do nothing but confuse you.

3. Hope this helps.
Yuri