It doesn't matter what altitude you exercise at, what matters is what altitude your body is acclimated to. If you live in Denver, you will be far less hypoxic in an aircraft than someone who lives in the midwest.

Also, your lungs don't necessarily get a more strenuous work out at lower pressure levels at higher altitudes. It is simply more difficult for your lungs to diffuse the oxygen to your hemoglobin when the differential pressure between your lungs and the ambient air is low. If your body was acclimated to the lower differential pressure at higher altitudes, you would feel a lot better.

The FAA mandates that passengers have oxygen when the pressure altitude reaches 15,000 ft. (or a pressurized cabin to below said altitude). Pilots and required flight crew however are required to use oxygen at 12,500 ft., or be in a pressurized cabin below this altitude.