It's January and everybody's on a diet, except that diets are undignified and nobody will admit to them, so instead they're going to the gym. It's an unimpeachable activity, sound from every angle. It is entirely logical: calories out exceed calories in (it's so simple, fatty. Can't you even count?) It is socially beneficial: think how much you save the NHS, with that cocktail of sweat, determination and foresight. It's not vanity, it's self-improvement. It's not a hobby, it's a moral act.

Except that all this is a total swindle. The gym is so much greater a capitalist con than the casino, and yet so much more acceptable, so legitimate. How do they get away with it?

Outdoor pursuits, from ladies jumping in Hampstead pond to adolescents running off their primal urges – anything that could be filed under "fresh air" – have always had exponents. But the bizarre fascinations of the gym – the airless, repetitive flexing and relaxing, the determined pointlessness, the feverish generation of sweat – none of this was even conceived of until the 60s. It was a fad. By the 80s, sensible people played racquet sports, and the only people who wore Lycra and star-jumped at random were fast-living young women who wanted to be Jane Fonda. Bill Clinton's treadmill habit was weird in 1992; now, imagine how weird it would be if Barack Obama didn't go to the gym.

It has taken fewer than 20 years for aerobic (or, if you prefer to sound less girly, cardio) exercise to go from an urban fad to the very core of medical orthodoxy. Fruit, vegetables, gym: these are now the musketeers of good health. The fitness market was worth £682m in 1996, £1.6bn in 2001 and is now stable at £2.5bn (these are Mintel figures). In the UK, 5.2 million adults have membership of a private gym. That market penetration is phenomenal. I don't want to labour the point about how this correlates with obesity, because some people – myself, for instance – have membership and don't use it. But put it this way: whether we're using the gym or not, as a cohort, it's not making us any thinner.

One of the reasons for this is that vigorous exercise stimulates your appetite. So a 20-minute run might use up 200 calories, but your hunger won't necessarily – indeed, almost certainly won't – restrain itself to that amount of extra food. Well then, use willpower to overcome the appetite. That might work, except that willpower is like a muscle (or, as Oliver Burkeman described it, "a unitary, depletable resource"). You've already used your day's determination going to the gym in the first place: your ability to resist the temptations of your appetite is already diminished, even before that appetite has increased. Some doctors happily bandy about the importance of rigorous exercise, but experts on the obesity "epidemic" have been questioning this advice for ages, and rarely recommend anything more demanding than walking and cycling.

This vexed area yields my favourite anti-capitalist conspiracy from a mainstream source. Steven Gortmaker, who heads the Harvard Prevention Research Centre on nutrition and physical activity, said this about playgrounds at fast-food restaurants: "Why would they build those? … if a kid plays five minutes and burns 50 calories, he might then go inside and consume 500 calories."

Studies come out all the time showing that exercise doesn't make you thin. But gyms have become so central to our idea of what it means to take responsibility for oneself that sensible people write this evidence off as crank stuff emanating from academic troublemakers. In fact, sensible people should never even see the word "gym" without mentally ending the sentence "stimulates appetite". They are a good answer for elite athletes with specific muscular needs. Everybody else should just go for a walk, or – if that too seems pointless – take a walk to a particular destination.

In one way, it doesn't matter. It is possible to be fit but fat, and exercise improves health – it's good for your heart, it has a prophylactic effect against a number of cancers. And yet the raison d'être of the private health club is the body beautiful. These places would have got nowhere had they flogged themselves as a long-term preventative measure against future heart attack. They had to appeal to vanity: the genius of gym culture was to dress up personal vanity in the sackcloth of good health, and thereby overcome all the natural, decent reservations we would have had about blowing 94 quid a month on a beauty regime that didn't even work.

We should really be ashamed. There is no more obvious profligacy than spending money to pump out energy on treadmills, just to force us to consume more energy, none of which has any result that couldn't be replicated by taking a turn around the block. Never mind the Earth's resources, we should have more respect for our own resources. We ought to see the waste of our toil in the same terms as wasting food. As we set off for the gym, we should be able to hear the echo of our mums shouting: "There are children in Africa who have to jog five miles up an incline every day!"

I hope they don't revoke my membership for saying this. I still like the sauna.