Little is known about older adults' physical exercise destinations. We studied associations between physical activity (PA) level and physical exercise destinations (total number and surrounding environment) in community-dwelling 75- to 85-year-old adults living in Central Finland. Participants (N = 901) reported the amount of at least moderate-intensity PA and physical exercise destinations. Distance from home, land use, and locations of sport facilities were defined using a geographic information system. A general linear model showed that older adults with higher PA reported higher numbers of physical exercise destinations and destinations further away from home than those reporting lower PA. Binary logistic regression showed that higher PA increased the odds of reporting a distant destination identified as a sports facility and of reporting destinations located in residential, service, forest, and water body areas, respectively. Physical exercise destinations in different environments may attract older people to go out and be more physically active.