Why should I see a doctor when starting exercise regime?

Dear doctor; I recently bought videos of exercise regime for holistic therapy. I want to do doing yoga and Pilates but a warning at the start of the video says one must first talk to their doctor before taking such an exercise. I thought exercise was a good thing, so why would I need to tell a doctor that I am doing a simple thing like Pilates or yoga? What specifics would the doctor then look into?