Well it does make sense, multitaking does not come as well for some then others but even then those who can would likely find themselves not working as intensely. Some could do it better, but even those who have mastered doing many things would I feel effect the speed and efficiency to a degree.
More, in a lot of situations, I don't really think you could without outright stopping expect for perhaps the treadmill. It spilts your attention, so this your focus is not fully in the work out.