When you exercise your muscles need more glucose to supply energy. In response, your liver increases the amount of glucose it releases into your bloodstream. Remember, however, that the glucose needs insulin in order to be used by your muscles.

So if you do not have enough insulin available, your blood glucose levels can actually increase right after exercise. Basically, stimulated by the demand from your exercising muscles, your body is pouring glucose into your bloodstream.

If you do not have enough insulin available to “unlock the door” to your muscles, the glucose cannot get into your muscles to provide needed energy. The end result is that glucose backs-up in your bloodstream, causing higher blood glucose readings

http://www.joslin.org/info/why_do_blood_glucose_levels_sometimes_go_up_after_physical_activity.html