Like carbohydrates and fat, proteins provide energy. Protein and carbohydrates provide 4 calories per gram. Fat provides 9 calories per gram, more than twice the calories from protein or carbohydrates. So it takes more than twice the effort to burn off the calories from fat.
When you exercise, you burn calories from carbohydrates first, during the first 20 minutes of exercise. Then you begin to burn the calories from fat. Finally, once you’ve burned all the calories from fat, you burn the protein calories (the body begins using protein as an energy source only when other energy sources are not readily available).