Is there a polite but firm way to quiet people's dismay that I exercise?

I am not a fat or obviously out-of-shape person so when I tell people I am going to work out and/or try to get in shape, I often get people who say, “You don’t need to do that,” or, “Why would you do that? You look fine.” It is very irritating and it’s not as if these comments make me go, “By golly, you’re right! I’ll go climb a mountain right now because I’m in great shape if you say so!” I don’t want to go into why I’m going to the gym or exercising I’m in terrible shape and have terrible physical stamina and I find telling people repeatedly that I just want to get in shape doesn’t shut anyone up.

So, what’s a polite but firm way to let people know that I do not appreciate their comments?