I've changed it to "No hago ejercicio" as suggested to keep a more literal translation.
Be aware though that in Spain, if someone says "Yo no hago deporte", in a general conversation about leading a healthy life or not, etc, this is a way of saying that you don't do any exercise at all, so the word "deporte" here has a more amplified meaning to "any kind of exercise including sports, classes, etc".
Gracias y saludos
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