Hey man,
I would say there is nothing to worry about. Mine does the same thing and always has. I have a 2 part theory on this. First, by working out you start to sweat, which is a natural design for cooling off. You start sweating, your genitals get moist, air hits the area and you cool off. The second part is a little more out there. I think it relates to us as more primal beings. Say you go back a few hundred thousand years. You are standing there mostly naked and Norg, a fellow naked being wants to kick your ass for something, maybe your beautiful hunched back lady friend. Your pecker is probably going to shrink and get as close to your body as possible so as not to get injured or ripped off in the ensuing fight. When working out, I think our bodies get stressed and go into a similar defensive mode. Yeah, sounds weird, but..
MD