Yeah, testes tend to retract in some people when it's cold or during exercise for warmth and protection. In both cases, the cremasteric muscle pulls them up.

With exercise, most of your blood is directed to your muscles (and away from your genitals), so the testes (and penis) actually become temporarily a bit smaller. Because the testes get a bit smaller, they may have an easier time hiding in the body. In either case, a warm bath/environment should make them come down.