Virtual reality (VR) allows to embody avatars—the digital self-representation of the user. An avatar’s appearance can change users’ perception and behavior—a phenomenon known as the Proteus effect. Previous work found that athletic avatars can reduce heart rate and perceived exertion during physical effort. Although these findings are promising to create more effective VR exercises, they have not been replicated yet. Hence, the reliability and consistency of such effects is unknown. Therefore, we conducted a study with 32 participants to investigate physiological and perceptual effects of athletic avatars while cycling in VR following a standardized exercise protocol. We could not find effects of the avatars’ athletic appearance on heart rate, perceived exertion, and imagined velocity. Our findings indicate that athletic avatars do not necessarily affect users during physical exertion. We discuss potential factors that can cause the Proteus effect fail to occur.