Here's how I understand it - protein and fat do nothing to your blood sugar level. Carbs are converted to simple sugars and put into your blood stream. Too much simple sugar and it gets converted to fat. Too little, and stored fat (not fat you have eaten) is converted to simple sugar.
So I think the concept of burning them off means to exercise a bit after having carbs - use the simple sugar in your blood stream for immediate energy so it doesn't get converted to fat.
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