Anaerobic exercise is activity that does not require the cells in your muscles to use oxygen. Anaerobic exercise helps build muscle mass. Lifting weights and yoga are examples of anaerobic exercise. Because anaerobic exercise does not use oxygen, it creates a waste product that builds up in your muscles. This causes your muscles to become sore. Muscles can only handle a certain amount of the waste product, so anaerobic exercise can be done only for short periods.