Non-coordinated physical activity may lead to hypoglycemia, which is a dangerous condition for diabetic people. Decision support systems related to type 1 diabetes mellitus (T1DM) still lack the capability of automated therapy modification by recognizing and categorizing the physical activity. Further, this desired adaptive therapy should be achieved without increasing the administrative load, which is already high for the diabetic community. These requirements can be satisfied by using artificial intelligence-based solutions, signals collected by wearable devices, and relying on the already available data sources, such as continuous glucose monitoring systems. In this work, we focus on the detection of physical activity by using a continuous glucose monitoring system and a wearable sensor providing the heart rate—the latter is accessible even in the cheapest wearables. Our results show that the detection of physical activity is possible based on these data sources, even if only low-complexity artificial intelligence models are deployed. In general, our models achieved approximately 90% accuracy in the detection of physical activity.