Objective Only between 25% and 50% of patients invited to participate in clinical trial‐based physical exercise programs during cancer treatment agree to do so. The purpose of this study was to identify factors associated significantly with the decision (not) to participate in a randomized controlled trial of physical exercise during adjuvant chemotherapy for breast cancer. Methods Based on questionnaire data, we compared trial participants and non‐participants on a range of sociodemographic, clinical health‐related, practical, behavioral, and attitudinal variables. Results Two hundred thirty of 524 patients agreed to participate in the trial (44%). The 294 (56%) non‐participants indicated that they wanted to exercise on their own or that they did not wish to exercise in the context of a trial. Those who preferred to exercise on their own were relatively similar to trial participants but were more likely to be in the maintenance exercise stage. Those non‐participants who did not wish to exercise had a significantly lower level of education, were less likely to be working, reported more fatigue and lower health‐related quality of life, had lower sense of self‐efficacy, more negative attitudes towards exercise, less social support, and perceived fewer benefits and more barriers to exercising during treatment than trial participants. Conclusion Minimizing practical barriers to participation, providing educational materials on the potential benefits of exercise, and giving adequate professional and social network encouragement may increase the number of patients willing to exercise during treatment and to participate in such studies. Copyright © 2015 John Wiley & Sons, Ltd.