I would consider that an absurd thing for a therapist to ask a client.
Yes, it's a virtual session, but virtual sessions are not meant to be less effective.
If the therapist is working out, then their focus will be on that physical activity, and less on you as the client.
If I'm paying a therapist for their time, I would like their focus to be on what I've brought to the session.
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'Somewhere up above the great divide
Where the sky is wide, and the clouds are few
A man can see his way clear to the light
'You have all the grace you need for today, and today is all that matters.' - Steve Austin