Because I have ME/CFS (chronic fatigue) I can't do very much exercise at all because it drains what little energy I have and then it takes days and sometimes weeks to recover, so I can't rely on exercise for my self esteem. (I do ride my bike but that's mostly for the pleasure of being outside and I get little exercise because I ride very slowly.) If it makes you feel a bit better, then why not, but if it's not for you, you don't have to do it.
You might feel better about yourself if you learn something new, by reading a book or watching a documentary, or learning a skill, like a new language or juggling. Anything that helps you feel accomplished can help. But the real solution is feeling good about yourself regardless of your accomplishments, simply because you are a worthwhile person just for being you.