I too have been confused by the back button behavior a few times. For the same reason Bob described, I wanted to go back to the last set via the back button. To me this was intuitively the right thing to do.

Anyways, now that I now how to edit wrong entries, this doesn't happen anymore. Still, I would propose to ask the user whether he really wants to leave the current exercise (and maybe tell him how to get back), when he presses the back button.