The effects of air pollution on health outcomes are well-established. However, little is known about perceptions of air pollution and how it may influence exercise behaviours. The aim of this study was to understand the perceived importance of air pollution during planned exercise, and where relevant, explore how those perceptions may differ between those living in different locations. A questionnaire was disseminated to several running and cycling clubs in the United Kingdom, covering population characteristics to determine urban, rural or coastal residents and exercisers, self-reported asthma, perceptions of air quality during active travel, planned exercise and attitudes towards learning more about the topic. Anonymised responses were gained from 381 adult participants (≥18 years and 60% female), 119 of whom answered questions related to active travel. More than half (54%) of all respondents think about the air quality they are exposed to during exercise and how it may affect their health. More urban than rural respondents (59% vs. 47% and p = 0.03) think about air quality and the impact it may have on their health when exercising. There were insufficient coastal respondents for direct comparison. Most survey respondents (57%) state that they would take the most severe course of action regarding exercise behaviour by avoiding it altogether during periods of heavy road traffic. Individuals with self-reported asthma (n = 60), irrespective of place of residence, are the most likely to be conscious of the potential effects of air pollution on their health and exercise performance compared to counterparts without self-reported asthma.